Corporate Bond Liquidity during the COVID-19 Crisis

被引：86

作者：

Kargar, Mahyar ^{[1
]}

Lester, Benjamin ^{[2
]}

Lindsay, David ^{[3
]}

Liu, Shuo ^{[4
]}

Weill, Pierre-Olivier ^{[3
,5
,6
]}

Zuniga, Diego ^{[1
,3
]}

机构：

[1] Univ Illinois, Champaign, IL USA

[2] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA

[3] Univ Calif Los Angeles, Los Angeles, CA USA

[4] Tsinghua Univ, Sch Econ & Management, Beijing, Peoples R China

[5] NBER, Cambridge, MA 02138 USA

[6] CEPR, London, England

来源：

REVIEW OF FINANCIAL STUDIES | 2021年 / 34卷 / 11期

关键词：

D O I：

10.1093/rfs/hhab063

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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 dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve's corporate credit facilities have 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.

引用

页码：5352 / 5401

页数：50

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