| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23512 |
| 来源ID | Working Paper 23512 |
| Credit Market Freezes | |
| Efraim Benmelech; Nittai K. Bergman | |
| 发表日期 | 2017-06-19 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically observed during financial crises. In the financial crisis of 2008-09, the structured credit market froze, issuance of corporate bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse selection, and (2) heterogenous beliefs. Analyzing the 1873 financial crisis as well as the 2008-09 crisis, we find that when bond value deteriorates, bond illiquidity increases, consistent with an adverse selection model of the information sensitivity of debt contracts. While we show that the adverse-selection model of debt liquidity explains a large portion of the rise in illiquidity, we find little support for the hypothesis that opinion dispersion explains illiquidity in financial crises. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w23512 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581185 |
| 推荐引用方式 GB/T 7714 | Efraim Benmelech,Nittai K. Bergman. Credit Market Freezes. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23512.pdf（1028KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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