| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27168 |
| 来源ID | Working Paper 27168 |
| When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed\u2019s Response | |
| Valentin Haddad; Alan Moreira; Tyler Muir | |
| 发表日期 | 2020-05-18 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study disruptions in debt markets during the COVID-19 crisis. The safer end of the credit spectrum experienced significant losses that are hard to fully reconcile with standard default or risk premium channels. Corporate bonds traded at a large discount to their corresponding CDS, and this basis widened most for safer bonds. Liquid bond ETFs traded at a large discount to their NAV, more so for Treasuries, municipal bonds, and investment-grade corporate than high-yield corporate. These facts suggest investors tried to sell safer, more liquid securities to raise cash. These disruptions disappeared nearly as fast as they appeared. We trace this recovery back to the unprecedented actions the Fed took to purchase corporate bonds rather than its interventions in extending credit. The March 23rd announcement to buy investment-grade debt boosted prices and lowered bond spreads (particularly at shorter maturities and the safer end of investment-grade) while having virtually no effect on high-yield debt. April 9th, in contrast, had a large effect on both investment-grade and high-yield, even for the riskier end of high yield which would only indirectly benefit from the policy. These facts highlight the importance of financial frictions early on in the crisis, but also challenge existing theories of these frictions. |
| 主题 | Macroeconomics ; Monetary Policy ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions ; COVID-19 |
| URL | https://www.nber.org/papers/w27168 |
| 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/584841 |
| 推荐引用方式 GB/T 7714 | Valentin Haddad,Alan Moreira,Tyler Muir. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed\u2019s Response. 2020. |
| 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 | ||
| w27168.pdf（873KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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