| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15231 |
| DP15231 Corporate Bond Liquidity During the COVID-19 Crisis | |
| Mahyar Kargar; Benjamin Lester; David Lindsay; Shuo Liu; Pierre-Olivier Weill; Diego Zúñiga | |
| 发表日期 | 2020-08-30 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades increased dramatically at the height of the sell-off, forcing customers to shift towards slower, agency trades. Exploiting eligibility requirements, we show that the Federal Reserve’s corporate credit facilities had a positive effect on market liquidity. A structural estimation reveals that customers’ willingness to pay for immediacy increased by about 200 bps per dollar of transaction, but quickly subsided after the Fed announced its interventions. Dealers’ marginal cost also increased substantially, but did not fully subside. |
| 主题 | Financial Economics |
| 关键词 | Corporate bonds Liquidity Intermediation Smccf Covid-19 |
| URL | https://cepr.org/publications/dp15231-0 |
| 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/544205 |
| 推荐引用方式 GB/T 7714 | Mahyar Kargar,Benjamin Lester,David Lindsay,et al. DP15231 Corporate Bond Liquidity During the COVID-19 Crisis. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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