Dealer balance sheets and bond liquidity provision

• 成果类型: Article; Proceedings Paper
• 署名作者: Adrian, Tobias; Boyarchenko, Nina; Shachar, Or
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.03.011
• 发表日期: 2017
• 页码: 92-109
• 关键词: Bond liquidity; regulation; dealer constraints

摘要

Do regulations decrease dealer ability to intermediate trades? Using a unique dataset of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers' transaction activity and balance sheet constraints. We show that, prior to the financial crisis, bonds traded by more levered institutions and institutions with investment bank like characteristics were more liquid but this relationship reverses after the financial crisis. In addition, institutions that face more regulations after the crisis both reduce their overall volume of trade and have less ability to intermediate customer trades. (C) 2017 Elsevier B.V. All rights reserved.