| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17050 |
| DP17050 Bond Price Fragility and the Structure of the Mutual Fund Industry | |
| Mariassunta Giannetti; Jotikasthira Chotibhak | |
| 发表日期 | 2022-02-19 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We show that mutual funds with a large share of a bond issue sell their holdings of that issue to a lower extent when they experience redemptions, arguably because they attempt to avoid a drop in the bond price and the consequent negative feedback effects on the unsold part of their position. Since large bond funds tend to hold large shares of outstanding bond issues, they end up exercising a stabilizing effect on the bonds they hold. Bonds with greater ownership concentration outperform during periods of turmoil and have lower overall price volatility. We provide evidence that the tendency of bond funds to limit negative price spillovers on their large positions can help explain how the Fed's Secondary Market Corporate Credit Facility quickly stabilized both eligible and ineligible bonds. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Bonds Mutual funds Fire sales Fed Corporate quantitative easing Covid-19 pandemic |
| URL | https://cepr.org/publications/dp17050 |
| 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/546009 |
| 推荐引用方式 GB/T 7714 | Mariassunta Giannetti,Jotikasthira Chotibhak. DP17050 Bond Price Fragility and the Structure of the Mutual Fund Industry. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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