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Measuring the Perceived Liquidity of the Corporate Bond Market
Chernenko, Sergey - 2020
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …
Persistent link: https://www.econbiz.de/10012481676
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Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework
Canzoneri, Matthew - 2008
-Wicksellian model and then adds banks and a role for bonds in the liquidity management of households and banks. The Banks and Bonds …
Persistent link: https://www.econbiz.de/10012464403
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Liquidity Effects in the Bond Market
Jovanovic, Boyan - 2001
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/10012470119
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Credit Market Freezes
Benmelech, Efraim - 2017
Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …
Persistent link: https://www.econbiz.de/10012455170
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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 … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …
Persistent link: https://www.econbiz.de/10012455364
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COVID-19 and SMEs : A 2021 "Time Bomb"?
Gourinchas, Pierre-Olivier; Kalemli-Ozcan, Sebnem; … - National Bureau of Economic Research - 2021
This paper assesses the prospects of a 2021 time bomb in SME failures triggered by the generous support policies enacted during the 2020 COVID-19 crisis. Policies implemented in 2020, on their own, do not create a 2021 "time-bomb" for SMEs. Rather, business failures and policy costs remain...
Persistent link: https://www.econbiz.de/10012482634
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When Selling Becomes Viral : Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response
Haddad, Valentin - 2020
We study disruptions in debt markets during the COVID-19 crisis. The safer end of the credit spectrum experienced significant losses that are hard to fully reconcile with standard default or risk premium channels. Corporate bonds traded at a large discount to their corresponding CDS, and this...
Persistent link: https://www.econbiz.de/10012481751
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Flights to Safety
Baele, Lieven - 2013
in FTS episodes. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic growth and …
Persistent link: https://www.econbiz.de/10012459566
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The Location and Allocation of Assets in Pension and Conventional Savings Accounts
Shoven, John B. - 1999
This paper addresses two important parts of the problem of saving for retirement. They are (1) if assets are to be held in both conventional (and hence taxable) accounts and pension accounts, which assets should be held in each? and, (2) if the investor is substantially risk averse, what is the...
Persistent link: https://www.econbiz.de/10012471793
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Exorbitant Privilege? Quantitative Easing and the Bond Market Subsidy of Prospective Fallen Angels
Acharya, Viral V.; Banerjee, Ryan; Crosignani, Matteo; … - National Bureau of Economic Research - 2022
We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels -- risky firms just above the IG rating cutoff -- enjoyed subsidized bond financing since 2009, especially when the scale of QE purchases...
Persistent link: https://www.econbiz.de/10012938746