It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities
By Nina Boyarchenko, A. Kovner, Or Shachar. Social Science Research Network, 2020
121 citations recorded by the source corpus.
We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF). A third of the positive effect on prices and liquidity occurred on the announcement date. We document immediate pass through into primary markets, particularly for eligible issuers. Improvements continue as additional information is shared and purchases begin, with the impact of bond purchases larger than the impact of purchases of ETFs. Exploiting cross-sectional evidence, we see the greatest impact on investment grade bonds and in industries less affected by COVID, concluding that the improvement in corporate credit markets can be attributed both to announcement effects of Federal Reserve interventions on the economy and to the specific differential impact of the facilities on eligible issues.
View Paper: https://www.semanticscholar.org/paper/165a66a197995ec57bf6bfb70e1e970edcfdb807
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Zhiguo He
- Patrick Augustin
- Stefan Nagel
- Zhaogang Song
- Marti G. Subrahmanyam
- V. Sokolovski
- Davide Tomio
- Arvind Krishnamurthy
Citations in the corpus
- Treasury inconvenience yields during the COVID-19 crisis (2020, background): “Other contemporaneous works on the COVID-19 stress of fixed-income markets include Boyarchenko et al. (2020) , D’Amico et al. (2020) , Haddad et al. (2020) , Kargar et al. (2020) , Qiu and Nozawa (2020) , and O’Hara and Zhou (2020) on corporate bonds, Chen et al. (2021) on agency mortgage-backed…”
- In sickness and in debt: The COVID-19 impact on sovereign credit risk (2020, background): “…Gormsen and Koijen, 2020 ) and financial markets, including corporate fixed income ( O’Hara and Zhou, 2020; Haddad et al., 2020; Kargar et al., 2020; Boyarchenko et al., 2020; Fahlenbrach et al., 2020; Falato et al., 2020 ), Treasury ( He et al., 2020; Fleming and Ruela, 2020; Schrimpf et al.,…”