It's what you say and what you buy: A holistic evaluation of the corporate credit facilities

• 成果类型: Article
• 署名作者: Boyarchenko, Nina; Kovner, Anna; Shachar, Or
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.03.001
• 发表日期: 2022
• 页码: 695-731
• 关键词: Corporate credit facilities; bond liquidity; credit spreads; Purchase effects

摘要

We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF) on corporate bond markets. Conditions in primary markets improve once the facilities are announced, particularly for issuers that need to refinance before 2022. Issuance accelerates before spreads normalize. The secondary market points to a causal role for the facilities, with a differential impact on eligible issues and a significant effect of direct bond purchases, but less so for purchases through ETFs. We find evidence that dealers link the primary and secondary market recovery, with facilities affecting dealer willing to underwrite issuances and intermediate in secondary markets. (c) 2022 Elsevier B.V. All rights reserved.