| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27355 |
| 来源ID | Working Paper 27355 |
| Corporate Bond Liquidity During the COVID-19 Crisis | |
| Mahyar Kargar; Benjamin Lester; David Lindsay; Shuo Liu; Pierre-Olivier Weill; Diego Zúñiga | |
| 发表日期 | 2020-06-15 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades increased dramatically at the height of the sell-off, forcing customers to shift towards slower, agency trades. Exploiting eligibility requirements, we show that the Federal Reserve’s corporate credit facilities had a positive effect on market liquidity. A structural estimation reveals that customers’ willingness to pay for immediacy increased by about 200 bps per dollar of transaction, but quickly subsided after the Fed announced its interventions. Dealers’ marginal cost also increased substantially, but did not fully subside. |
| 主题 | Macroeconomics ; Monetary Policy ; Fiscal Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; COVID-19 |
| URL | https://www.nber.org/papers/w27355 |
| 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/585028 |
| 推荐引用方式 GB/T 7714 | Mahyar Kargar,Benjamin Lester,David Lindsay,et al. Corporate Bond Liquidity During the COVID-19 Crisis. 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 | ||
| w27355.pdf（543KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
