Liquidity supply by broker-dealers and real activity

• 成果类型: Article
• 署名作者: Goldberg, Jonathan
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.11.006
• 发表日期: 2020
• 页码: 806-827
• 关键词: Broker-dealers; Treasury noise; Nonfinancial firms; Real effects of securities intermediation

摘要

This paper develops a novel measure of liquidity supply by broker-dealers using data on their trading positions in Treasury bonds and the deviations of Treasury yields from a fitted yield curve. The measure is informative about liquidity in other asset classes, including corporate bonds and equities. A decline in liquidity supply predicts reduced debt issuance and investment by nonfinancial firms and reduced aggregate economic activity. The sensitivity of liquidity, issuance, and investment to broker-dealers' liquidity supply is larger for firms with low credit quality. The results suggest that securities intermediaries are important for understanding liquidity commonality, corporate financing, and real activity. Published by Elsevier B.V.