Dash for dollars

Ambrogio Cesa-Bianchi and Fernando Eguren-Martin ()
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Fernando Eguren-Martin: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Authors registered in the RePEc Author Service: Fernando Eguren Martin

No 932, Bank of England working papers from Bank of England

Abstract: Within-firm variation of corporate bond spreads around the Covid-19 outbreak shows that US dollar-denominated bonds experienced larger increases in spreads relative to non-dollar bonds, especially at short maturities. Differently, in the non-dollar sample it was the spreads of longer maturity bonds that widened more markedly. Price pressures arising from a liquidity-driven dash for cash alone cannot rationalize these findings. Instead, the patterns we uncover suggest a ‘dash for dollars’, in which investors sold their dollar-denominated assets first, with a consequent impact on prices. We link these dynamics to the dominant role of the US dollar in the international financial system.

Keywords: Heterogeneity; credit spreads; liquidity; dash-for-cash; US dollar; Covid-19; event-study; identification (search for similar items in EconPapers)
JEL-codes: E44 E58 G01 G12 G15 G18 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2021-07-23
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Dash for Dollars (2023)
Working Paper: Dash for Dollars (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0932

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