Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/241128
Authors: 
Boyarchenko, Nina
Kovner, Anna
Shachar, Or
Year of Publication: 
2020
Series/Report no.: 
Staff Report No. 935
Abstract: 
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.
Subjects: 
corporate credit facilities
bond liquidity
credit spreads
purchase effects
JEL: 
G12
G18
G19
Document Type: 
Working Paper

Files in This Item:
File
Size
1.83 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.