G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6595
DP6595 Nominal Debt as a Burden on Monetary Policy
Giorgia Giovannetti; Ramon Marimon; Pedro Teles; Javier Díaz-Giménez
发表日期2007-12-23
出版年2007
语种英语
摘要The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes towards sales. We also document that simultaneously, there was excess co-movement in the fixed-income securities of all industries, not just in those of auto firms. In particular, using credit-default swaps (CDS) data, we find a substantial increase in the co-movement between innovations in the CDS spreads of GM and Ford and those of firms in all other industries, the increase being greatest during the period surrounding the actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market-makers ? specifically, the imbalance towards sales in the volume and frequency of quotes on GM and Ford bonds ? explains a significant portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk faced by market-makers and the correlation risk for other securities in which they make markets was likely causal. Overall, the evidence is supportive of theoretical models which imply that funding liquidity risk faced by financial intermediaries is a determinant of market prices during stress times.
主题Financial Economics
关键词Excess co-movement Financial crises Funding liquidity Inventory risk Market liquidity
URLhttps://cepr.org/publications/dp6595
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535458
推荐引用方式
GB/T 7714
Giorgia Giovannetti,Ramon Marimon,Pedro Teles,et al. DP6595 Nominal Debt as a Burden on Monetary Policy. 2007.
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