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Information and liquidity of OTC securities : evidence from public registration of Rule 144A bonds

Han, Song; Huang, Alan Guoming; Madhu, Kalimipalli,; … - 2018 - This version: June, 2018

the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using … the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …

Persistent link: https://www.econbiz.de/10012016179

The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania - 2015

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

Persistent link: https://www.econbiz.de/10013032735

Jumps in Bond Yields at Known Times

Kim, Don H. - 2016

We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogeneous affine function of the state...

Persistent link: https://www.econbiz.de/10013005585

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201

The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market

Han, Song; Li, Dan - 2011

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events … discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such … discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing …

Persistent link: https://www.econbiz.de/10014179447

Arbitrage and Liquidity : Evidence from a Panel of Exchange Traded Funds

Rappoport, David E.; Tuzun, Tugkan - 2020

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

Persistent link: https://www.econbiz.de/10014048719

Bayesian Estimation of Time-Changed Default Intensity Models

Gordy, Michael B. - 2015

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on...

Persistent link: https://www.econbiz.de/10013028638

Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses

Cashin, David B. - 2020

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

Persistent link: https://www.econbiz.de/10012834175

Over-the-Counter Market Liquidity and Securities Lending

Foley-Fisher, Nathan; Gissler, Stefan; Verani, Stéphane - 2018

program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds …This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

Persistent link: https://www.econbiz.de/10012017522

Credit Default Swaps in General Equilibrium : Spillovers, Credit Spreads, and Endogenous Default

Darst, Matthew - 2016

safe rather than risky bonds is fundamentally altered. Issuing safe debt requires a transfer of profits from good states to … bad states to ensure full repayment. Alternatively, issuing risky bonds maximizes profits in good states at the expense of … issuing defaultable bonds even when underlying firm fundamentals remain unchanged. Hedging (Speculating on) credit risk lowers …

Persistent link: https://www.econbiz.de/10012992726