Corporate Bond Liquidity during the COVID-19 Crisis
成果类型：
Article
署名作者：
Kargar, Mahyar; Lester, Benjamin; Lindsay, David; Liu, Shuo; Weill, Pierre-Olivier; Zuniga, Diego
署名单位：
University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of California System; University of California Los Angeles; Tsinghua University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhab063
发表日期：
2021
页码：
5352
关键词：
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.
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