| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6595 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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