Bank balance sheet constraints and bond liquidity

Johannes Breckenfelder, Victoria Ivashina

We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic following the 2020 pandemic outbreak affected substantially more mutual funds with the larger exposures to dealer banks' balance sheet constraints.

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Year of publication:	[2021]
Authors:	Breckenfelder, Johannes ; Ivashina, Victoria
Publisher:	Frankfurt am Main, Germany : European Central Bank
Subject:	Bond liquidity \| market-making \| capital requirements \| leverage ratio \| mutual funds \| COVID-19 \| Kapitalstruktur \| Capital structure \| Bankenliquidität \| Bank liquidity \| Coronavirus \| Bankrechnungslegung \| Bank accounting \| Basler Akkord \| Basel Accord \| Investmentfonds \| Investment Fund \| Betriebliche Liquidität \| Corporate liquidity \| Anleihe \| Bond \| Unternehmensanleihe \| Corporate bond \| Portfolio-Management \| Portfolio selection \| Liquidität \| Liquidity

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Extent:	1 Online-Ressource (circa 53 Seiten) Illustrationen
Series:	Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. no 2589 (September 2021)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-92-899-4812-8
Other identifiers:	10.2866/948014 [DOI] hdl:10419/246166 [Handle]
Classification:	G12 - Asset Pricing ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012622810