Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets

• 成果类型: Article
• 署名作者: Falato, Antonio; Goldstein, Itay; Hortacsu, Ali
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; University of Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.07.001
• 发表日期: 2021
• 页码: 35-52
• 关键词: crises; fragility; Fixed income markets; Mutual funds; Transmission of unconventional monetary; POLICY

摘要

Using daily microdata, we document major outflows in corporate-bond funds during the COVID-19 crisis. Large outflows were sustained over weeks and most severe for funds with illiquid assets, vulnerable to fire sales, and exposed to sectors hurt by the crisis. By provid-ing a liquidity backstop for their bond holdings, the Federal Reserve bond purchase pro-gram helped to reverse outflows especially for the most fragile funds. In turn, the program had spillover effects on primary market issuance and peer funds. The evidence points to a bond-fund fragility channel whereby the Fed liquidity backstop transmits to the real economy via funds. (c) 2021 Published by Elsevier B.V.