Foley-Fisher, Nathan; Gissler, Stefan; Verani, Stéphane - 2018
This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …
