Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis
We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System interventions, volume shifted to liquid securities, transaction costs soared, trade-size pricing inverted, and dealers, particularly non-pri...
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| Published in | Journal of financial economics Vol. 142; no. 1; pp. 46 - 68 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Netherlands
Elsevier B.V
01.10.2021
Elsevier Sequoia S.A |
| Subjects | |
| Online Access | Get full text |
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| Abstract | We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System interventions, volume shifted to liquid securities, transaction costs soared, trade-size pricing inverted, and dealers, particularly non-primary dealers, shifted from buying to selling, causing dealers’ inventories to plummet. Liquidity provisions in electronic customer-to-customer trading increased, though at prohibitively high costs. By improving dealer funding conditions and providing a liquidity backstop, the Primary Dealer Credit Facility and the Secondary Market Corporate Credit Facility (SMCCF) stabilized trading conditions. Most of the impact of SMCCF on bond liquidity seems to have materialized following its announcement. We argue that the Federal Reserve's actions reflect a new role as market maker of last resort. |
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| AbstractList | We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System interventions, volume shifted to liquid securities, transaction costs soared, trade-size pricing inverted, and dealers, particularly non-primary dealers, shifted from buying to selling, causing dealers' inventories to plummet. Liquidity provisions in electronic customer-to-customer trading increased, though at prohibitively high costs. By improving dealer funding conditions and providing a liquidity backstop, the Primary Dealer Credit Facility and the Secondary Market Corporate Credit Facility (SMCCF) stabilized trading conditions. Most of the impact of SMCCF on bond liquidity seems to have materialized following its announcement. We argue that the Federal Reserve's actions reflect a new role as market maker of last resort. |
| Author | O'Hara, Maureen Zhou, Xing (Alex) |
| Author_xml | – sequence: 1 givenname: Maureen surname: O'Hara fullname: O'Hara, Maureen email: mo19@cornell.edu organization: Cornell University, Samuel Curtis Johnson Graduate School of Management, 447 Sage Hall, Ithaca, NY 14853, USA – sequence: 2 givenname: Xing (Alex) surname: Zhou fullname: Zhou, Xing (Alex) organization: Federal Reserve Board of Governors, 20th & Constitution Ave. NW, Washington, DC 20551, USA |
| BackLink | https://www.ncbi.nlm.nih.gov/pubmed/36568646$$D View this record in MEDLINE/PubMed |
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| Copyright | 2021 2021 Elsevier B.V. All rights reserved. Copyright Elsevier Sequoia S.A. Oct 2021 2021 Elsevier B.V. All rights reserved. 2021 |
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| Keywords | COVID-19 Market maker of last resort PDCF Corporate bonds Liquidity crisis G21 G24 SMCCF G23 Customer-to-customer G14 Electronic trading |
| Language | English |
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| Snippet | We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System... |
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| SubjectTerms | Bonds Corporate bonds COVID-19 Crises Customer-to-customer Economic crisis Electronic trading Liquidity Liquidity crisis Market maker of last resort Microstructure PDCF SMCCF Trading Transaction costs |
| Title | Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis |
| URI | https://dx.doi.org/10.1016/j.jfineco.2021.05.052 https://www.ncbi.nlm.nih.gov/pubmed/36568646 https://www.proquest.com/docview/2573890612 https://search.proquest.com/docview/2758357586 https://pubmed.ncbi.nlm.nih.gov/PMC9759631 |
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