It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities

Nina Boyarchenko, Anna Kovner and Or Shachar

Journal of Financial Economics, 2022, vol. 144, issue 3, 695-731

Abstract: We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF) on corporate bond markets. Conditions in primary markets improve once the facilities are announced, particularly for issuers that need to refinance before 2022. Issuance accelerates before spreads normalize. The secondary market points to a causal role for the facilities, with a differential impact on eligible issues and a significant effect of direct bond purchases, but less so for purchases through ETFs. We find evidence that dealers link the primary and secondary market recovery, with facilities affecting dealer willing to underwrite issuances and intermediate in secondary markets.

Keywords: Corporate credit facilities; Bond liquidity; Credit spreads; Purchase effects (search for similar items in EconPapers)
JEL-codes: G12 G18 G19 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (18)

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Related works:
Working Paper: It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities (2020)
Working Paper: It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:144:y:2022:i:3:p:695-731

DOI: 10.1016/j.jfineco.2022.03.001

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