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作者：Kargar, Mahyar; Lester, Benjamin; Lindsay, David; Liu, Shuo; Weill, Pierre-Olivier; Zuniga, Diego
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of California System; University of California Los Angeles; Tsinghua University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve's corporate credit facilities have had a positive effect on market liquidity. A structural estimation reveals that customers' willingness to pay for imme...
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作者：Fahlenbrach, Rudiger; Rageth, Kevin; Stulz, Rene M.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); European Corporate Governance Institute; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Firms with greater financial flexibility should be better able to fund a revenue shortfall resulting from the COVID-19 shock and benefit less from policy responses. We find that firms with high financial flexibility within an industry experience a stock price drop that is 26%, or 9.7 percentage points, lower than those with low financial flexibility. This differential return persists as stock prices rebound. Firms more exposed to the COVID-19 shock benefit more from cash holdings. No evidence ...
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作者：Jones, Callum; Philippon, Thomas; Venkateswaran, Venky
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We study an economy's response to an unexpected epidemic. The spread of the disease can be mitigated by reducing consumption and hours worked in the office. Working from home is subject to learning-by-doing. Private agents' rational incentives are relatively weak and fatalistic. The planner recognizes infection and congestion externalities and implements front-loaded mitigation. Under our calibration, the planner reduces cumulative fatalities by 48% compared to 24% by private agents, although ...
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作者：Spiegel, Matthew; Tookes, Heather
作者单位：Yale University
摘要：We collect a time-series database of business and related restrictions for every county in the United States from March through December 2020. We find strong evidence consistent with the idea that employee mask policies, mask mandates for the general population, restaurant and bar closures, gym closures, and high-risk business closures reduce future fatality growth. Other business restrictions, such as second-round closures of low- to medium-risk businesses and personal care/spa services, did ...
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作者：Li, Lei; Li, Yi; Macchiavelli, Marco; Zhou, Xing (Alex)
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Liquidity restrictions on investors, like the redemption gates and liquidity fees introduced in the 2016 money market fund (MMF) reform, are meant to improve financial stability. However, we find evidence that such liquidity restrictions exacerbated the run on prime MMFs during the COVID-19 crisis. Our results indicate that gates and fees could generate strategic complementarities among investors in crisis times. Severe outflows from prime MMFs led the Federal Reserve to intervene with the Mon...
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作者：Goldstein, Itay; Koijen, Ralph S. J.; Mueller, Holger M.
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); New York University; Center for Economic & Policy Research (CEPR)
摘要：The COVID-19 pandemic severely disrupted financial markets and the real economy worldwide. These extraordinary events prompted large monetary and fiscal policy interventions. Recognizing the unusual nature of the shock, the academic community has produced an impressive amount of research during the last year. Macro-finance models have been extended to analyze the impact of epidemics. Empirical papers study the origins and consequences of the disruptions and the impact of policy interventions. ...
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作者：Eichenbaum, Martin S.; Rebelo, Sergio; Trabandt, Mathias
作者单位：Northwestern University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Goethe University Frankfurt
摘要：We extend the canonical epidemiology model to study the interaction between economic decisions and epidemics. Our model implies that people cut back on consumption and work to reduce the chances of being infected. These decisions reduce the severity of the epidemic but exacerbate the size of the associated recession. The competitive equilibrium is not socially optimal because infected people do not fully internalize the effect of their economic decisions on the spread of the virus. In our benc...
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作者：Haddad, Valentin; Moreira, Alan; Muir, Tyler
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of Rochester
摘要：We document extreme disruption in debt markets during the COVID-19 crisis: a severe price crash accompanied by significant dislocations at the safer end of the credit spectrum. Investment-grade corporate bonds traded at a discount to credit default swaps; exchange-traded funds traded at a discount to net asset value, more so for safer bonds. The Federal Reserve's announcement of corporate bond purchases caused these dislocations to disappear and prices to recover. These facts inform potential ...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We theoretically investigate the interaction of endogenous risk intolerance and monetary policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth share declines. This decline reduces the market's risk tolerance and triggers a downward loop in asset prices and aggregate demand when the interest rate policy is constrained. In this context, large-scale asset purchases are effective because they transfer unwanted risk to the government's balance sheet. These e...
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作者：Hong, Harrison; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We introduce aggregate transmission shocks to an epidemic model and link firm valuations to infections via an asset pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a large reproduction number R-0 and transmission volatility for COVID-19. Using these estimates, we quantify the bias of deterministic approximations based on R-0. Our model generates predictions consistent with the data: unexpected infection resurgence, nonmonotonic miti...
