| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w21739
|
| 来源ID | Working Paper 21739
|
| Regulation and Market Liquidity |
| Francesco Trebbi; Kairong Xiao
|
| 发表日期 | 2015-11-23
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | The aftermath of the 2008-09 U.S. financial crisis has been characterized by regulatory intervention of unprecedented scale. Although the necessity of a realignment of incentives and constraints of financial markets participants became a shared posterior after the near collapse of the U.S. financial system, considerable doubts have been subsequently raised on the welfare consequences of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and its various subcomponents, such as the Volcker Rule. The possibility of permanently inhibiting the market making capacity of large banks, with dire consequences in terms of under-provision of market liquidity, has been repeatedly raised. This paper presents systematic evidence from four different estimation strategies of the absence of breakpoints in market liquidity for fixed-income asset classes and across multiple liquidity measures, with special attention given to the corporate bond market. The analysis is performed without imposing restrictions on the exact dating of breaks (i.e. allowing for anticipatory response or lagging reactions to regulation) and focusing both on levels and dynamic latent factors. We report both single breakpoint and multiple breakpoint tests and analyze the liquidity of corporate bonds matched to their main underwriters making markets on those assets. Post-crisis U.S. regulatory intervention does not appear to have produced structural deteriorations in market liquidity. |
| 主题 | Macroeconomics
; Money and Interest Rates
; Monetary Policy
; Financial Economics
; Financial Markets
; Financial Institutions
|
| URL | https://www.nber.org/papers/w21739
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579414
|
推荐引用方式
GB/T 7714 |
Francesco Trebbi,Kairong Xiao. Regulation and Market Liquidity. 2015.
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