TY  - BOOK
AU  - Kargar,Mahyar
AU  - Lester,Benjamin
AU  - Lindsay,David
AU  - Liu,Shuo
AU  - Weill,Pierre-Olivier
AU  - Zúñiga,Diego
ED  - National Bureau of Economic Research.
TI  - Corporate Bond Liquidity During the COVID-19 Crisis
T2  - NBER working paper series
PY  - 2020///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - June 2020; Hardcopy version available to institutional subscribers
N2  - 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 increased dramatically at the height of the sell-off, forcing customers to shift towards slower, agency trades. Exploiting eligibility requirements, we show that the Federal Reserve's corporate credit facilities had a positive effect on market liquidity. A structural estimation reveals that customers' willingness to pay for immediacy increased by about 200 bps per dollar of transaction, but quickly subsided after the Fed announced its interventions. Dealers' marginal cost also increased substantially, but did not fully subside
UR  - https://www.nber.org/papers/w27355
UR  - http://dx.doi.org/10.3386/w27355
ER  -