Rainy Day Liquidity
研究了保险公司在公司债券市场中的流动性供给角色，发现金融危机后寿险公司主要通过买方交易提供流动性，其购买行为改善了交易债券和可比债券在“雨天”的流动性。
We investigate the role of insurers in providing liquidity in the corporate bond market, especially during “rainy days” when the aggregate dealer inventory is positive for a relatively large fraction of the outstanding bonds. We find that, on average, life insurers have positive liquidity supply in the years following the 2007–2009 financial crisis, primarily driven by their buy-side transactions. Insurers’ corporate bond purchases improve the liquidity of transacted bonds and comparable bonds on rainy days. Using unusual weather-related losses realized in the affiliated property and casualty division as an instrumental variable, we show that corporate bonds purchased more by insurers have higher liquidity in subsequent periods. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The internet appendix and data files are available at https://doi.org/10.1287/mnsc.2021.02994 .