Regulation and Market Liquidity

• 成果类型: Article
• 署名作者: Trebbi, Francesco; Xiao, Kairong
• 署名单位: University of British Columbia; Canadian Institute for Advanced Research (CIFAR); National Bureau of Economic Research; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2876
• 发表日期: 2019
• 页码: 1949-1968
• 关键词: Regulation; market liquidity; fixed income market

摘要

We examine the effects of postcrisis financial regulation, encompassing the Dodd-Frank Act and Basel III, on market liquidity of the U.S. fixed-income market. We estimate structural breaks in a large panel of liquidity measures of corporate and Treasury bonds. Our methodology does not require a priori knowledge of the timing of breaks, can capture not only sudden jumps but also breaks in slow-moving trends, and displays excellent power properties. Against the popular claim that postcrisis regulation hurt liquidity, we find no evidence of liquidity deterioration during periods of regulatory intervention. Instead, breaks toward higher liquidity are often detected.