Liquidity Supply and Demand in the Corporate Bond Market(Jonathan Goldbergと共著)


Yoshio Nozawa (Federal Reserve Board)
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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第96回
Liquidity Supply and Demand in the Corporate Bond Market(Jonathan Goldbergと共著)

Yoshio Nozawa (Federal Reserve Board)

By jointly analyzing noise and dealer capital commitment, we identify supply and demand shocks for corporate bond liquidity. We document that liquidity supply falls after the introduction of the recent banking regulation, especially for investment grade bonds. The demand and supply shocks have similar volatility, and are equally important in driving the dealer capital commitment. However, they are driven by different sets of factors and carry price of risks with opposite signs in the cross-section of corporate bond returns. Dealer gross positions predict bond returns negatively when supply shocks dominate demand shocks, but not when demand shocks dominate.

講 師:
Yoshio Nozawa (Federal Reserve Board)
テーマ:
Liquidity Supply and Demand in the Corporate Bond Market(Jonathan Goldbergと共著)
日 時:
2018年07月17日(火)16:20-17:50
場 所:
大阪大学豊中キャンパス 法経研究棟605セミナー室
参加費:
無料
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