| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15432 |
| DP15432 It’s what you say and what you buy: A holistic evaluation of the Corporate Credit Facilities | |
| Nina Boyarchenko; Anna Kovner; Or Shachar | |
| 发表日期 | 2020-11-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF). A third of the positive effect on prices and liquidity occurred on the announcement date. We document immediate pass through into primary markets, particularly for eligible issuers. Improvements continue as additional information is shared and purchases begin, with the impact of bond purchases larger than the impact of purchases of ETFs. Exploiting cross-sectional evidence, we see the greatest impact on investment grade bonds and in industries less affected by COVID, concluding that the improvement in corporate credit markets can be attributed both to announcement effects of Federal Reserve interventions on the economy and to the specific differential impact of the facilities on eligible issues. |
| 主题 | Financial Economics |
| 关键词 | Corporate credit facilities Bond liquidity Credit spreads Purchase effects |
| URL | https://cepr.org/publications/dp15432 |
| 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/544423 |
| 推荐引用方式 GB/T 7714 | Nina Boyarchenko,Anna Kovner,Or Shachar. DP15432 It’s what you say and what you buy: A holistic evaluation of the Corporate Credit Facilities. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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