Corporate Bond Liquidity During the COVID-19 Crisis
研究了新冠疫情导致公司债券市场流动性恶化，客户转向更慢的代理交易，并发现美联储的信贷便利措施显著改善了流动性，客户对即时交易的支付意愿在干预后迅速回落。
Abstract 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 dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve’s corporate credit facilities have 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.