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The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Manconi, Alberto - 2010
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...
Persistent link: https://www.econbiz.de/10013140999
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Repo and Securities Lending
Adrian, Tobias - 2012
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the...
Persistent link: https://www.econbiz.de/10013097773
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Is Post-Crisis Bond Liquidity Lower?
Anderson, Mike - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes relative to 2010-2012. This evidence contrasts with the...
Persistent link: https://www.econbiz.de/10012958984
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Liquidity Effects in the Bond Market
Jovanovic, Boyan - 2010
Our paper reports the following two findings: 1) In monthly data, bond purchases by the Fed raise bond prices and reduce bond yields. The residual bond-supply to traders is not fully predictable, and this supply-risk adds between 10 and 40 basis points to the standard deviation of the real...
Persistent link: https://www.econbiz.de/10012763097
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Pledgeability and Asset Prices : Evidence from the Chinese Corporate Bond Markets
Chen, Hui - 2019
We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets that feature different rules for repo...
Persistent link: https://www.econbiz.de/10012858401
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The Bond Market : An Inflation-Targeter's Best Friend
Rose, Andrew Kenan - 2014
This paper explores the relationship between inflation and the existence of a publicly-traded, long-maturity, nominal, domestic-currency bond market. Bond holders suffer from inflation and could be a potent anti-inflationary force; I ask whether their presence is apparent empirically. I use a...
Persistent link: https://www.econbiz.de/10013047032
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The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets
Burger, John D. - 2017
We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their allocations within the bond portfolios of US investors. Global...
Persistent link: https://www.econbiz.de/10012950839
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How Firms Use Domestic and International Corporate Bond Markets
Gozzi, Juan Carlos - 2012
This paper provides the first comprehensive documentation of the main features of corporate bond issues in domestic and international markets and analyzes how firms use these markets after they internationalize. We find that debt issues in domestic and international bond markets have different...
Persistent link: https://www.econbiz.de/10013112045
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Measuring the Perceived Liquidity of the Corporate Bond Market
Chernenko, Sergey; Sunderam, Aditya - 2022
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given...
Persistent link: https://www.econbiz.de/10013404994
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Why Doesn'T Asia Have Bigger Bond Markets?
Eichengreen, Barry; Luengnaruemitchai, Pipat - 2021
Asia's underdeveloped bond markets and dependence on bank finance have been topics of concern since the crisis of 1997 … characteristics and macroeconomic and financial policies account fully for differences in bond market development between Asia and the … rest of the world. Once one controls for these characteristics and policies, in other words, there is no residual Asia …
Persistent link: https://www.econbiz.de/10013313346