- 29 Jun 2020
- Working Paper Summaries
Measuring the Perceived Liquidity of the Corporate Bond Market
The liquidity of corporate bond markets is crucial to their functioning. This paper proposes a novel measure of bond market liquidity based on portfolio holdings instead of transaction data. The measure can be applied to asset-backed securities, syndicated loans, and municipal securities for which publicly available data on transactions are not available.
- 19 Sep 2017
- Working Paper Summaries
An Invitation to Market Design
Effective market design can improve liquidity, efficiency, and equity in markets. This paper illustrates best practices in market design through three examples: the design of medical residency matching programs, a scrip system to allocate food donations to food banks, and the recent “Incentive Auction” that reallocated wireless spectrum from television broadcasters to telecoms.
- 15 Aug 2016
- Working Paper Summaries
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
A key function of many financial intermediaries is liquidity transformation: creating liquid claims backed by illiquid assets. To date it has been difficult to measure liquidity transformation for asset managers. The study proposes a novel measure of liquidity transformation: funds’ cash management strategies. The study validates the measure and shows that liquidity transformation by asset managers is highly dependent on the traditional and shadow banking sectors.
Bankruptcy and the COVID-19 Crisis
Analyzing the impact of the COVID-19 crisis on bankruptcy filing rates in the United States, this study finds that large businesses, small businesses, and consumers experience very different effects of the crisis.