全球智库信息集成服务系统(G2TT): DP15231 Corporate Bond Liquidity During the COVID-19 Crisis

G2TT

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, and the effects of the unprecedented interventions by the Federal Reserve. We find that, at the height of the crisis, liquidity conditions deteriorated substantially, as dealers appeared unwilling to absorb corporate debt onto their balance sheets. In particular, we document that the cost of risky-principal trades increased by a factor of five, forcing traders to shift to slower, agency trades. The announcements of the Federal Reserve’s interventions coincided with substantial improvements in trading conditions: dealers began to “lean against the wind” and bid-ask spreads declined. To study the causal impact of the interventions on market liquidity, we exploit eligibility requirements for bonds to be purchased through the Fed’s corporate credit facilities. We find that, immediately after the facilities were announced, trading costs for eligible bonds improved significantly while those for ineligible bonds did not. Later, when the facilities were expanded, liquidity conditions improved for a wide range of bonds. We develop a simple theoretical framework to interpret our findings, and to estimate how the COVID-19 shock and subsequent interventions affected consumer surplus and dealer profits.
主题	Financial Economics
关键词	Corporate bonds Liquidity Intermediation Smccf Covid-19
URL	https://cepr.org/publications/dp15231
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/544206
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.