Notes on Bonds: Illiquidity Feedback During the Financial Crisis

• 成果类型: Article
• 署名作者: Musto, David; Nini, Greg; Schwarz, Krista
• 署名单位: University of Pennsylvania; Drexel University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy022
• 发表日期: 2018
• 页码: 2983
• 关键词: liquidity

摘要

We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bond prices fell more than 6% below more liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we find that the discounts amplify through feedback loops, where cheaper, less-liquid securities flowto longer-horizon investors, thereby increasing their illiquidity and thus their appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in the price liquidity providers charge for access to their balance sheets in the crisis.