全球智库信息集成服务系统(G2TT): DP15258 The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

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来源类型	Discussion paper
规范类型	论文
来源ID	DP15258
	DP15258 The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF
	Simon Gilchrist; Bin Wei; Vivian Yue; Egon Zakrajšek
发表日期	2020-09-05
出版年	2020
语种	英语
摘要	We evaluate the efficacy of the Secondary Market Corporate Credit Facility (SMCCF), a program designed to stabilize the corporate bond market in the wake of the Covid-19 shock. The Fed announced the SMCCF on March 23 and expanded the program on April 9. Regression discontinuity estimates imply that these announcements reduced credit spreads on bonds eligible for purchase 70 basis points. We refine this analysis by constructing a sample of bonds--issued by the same set of companies--which differ in their SMCCF eligibility. A diff-in-diff analysis shows that both announcements had large effects on credit spreads, narrowing spreads 20 basis points on eligible bonds relative to their ineligible counterparts within the same set of issuers across the two announcement periods. The March 23 announcement also reduced bid-ask spreads ten basis points within ten days of the announcement. By lowering credit spreads and improving liquidity, the April 9 announcement had an especially pronounced effect on "fallen angels.'' The actual purchases lowered credit spreads by an additional five basis points and bid-ask spreads by two basis points. These results confirm that the SMCCF made it easier for companies to borrow in the corporate bond market.
主题	Monetary Economics and Fluctuations
关键词	Covid-19 Credit market support facilities Regression discontinuity Diff-in-diff Event study Purchase effects
URL	https://cepr.org/publications/dp15258
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/544233
推荐引用方式 GB/T 7714	Simon Gilchrist,Bin Wei,Vivian Yue,et al. DP15258 The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF. 2020.