Fire-Sale Spillovers in Debt Markets

• 成果类型: Article
• 署名作者: Falato, Antonio; Hortacsu, Ali; Li, Dan; Shin, Chaehee
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13078
• 发表日期: 2021
• 页码: 3055-3102
• 关键词: Regression discontinuity; Systemic risk; bond; equilibrium; COMPETITION; purchases; liquidity; STABILITY; fragility; finance

摘要

Fire sales induced by investor redemptions have powerful spillover effects among funds that hold the same assets, hurting peer funds' performance and flows, and leading to further asset sales with negative bond price impact. A one-standard-deviation increase in our fire-sale spillover measure leads to a 45 (90) bp decrease in peer fund returns (flows) and a two percentage point increase in the likelihood of a large bond price drop. The results hold in a regression-discontinuity design addressing identification concerns. Timing, heterogeneity, instrumental-variable, and placebo tests further support the price-impact mechanism. Model-based counterfactual and stress-test analyses quantify the financial stability implications.