Whose asset sales matter?

Rhys Bidder (), Jamie Coen (), Caterina Lepore () and Laura Silvestri ()
Additional contact information
Rhys Bidder: King’s Business School
Jamie Coen: Imperial College London
Caterina Lepore: International Monetary Fund
Laura Silvestri: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 1088, Bank of England working papers from Bank of England

Abstract: Using novel data on bond trading in the UK, we develop a new measure of selling pressure that can be applied to any trader. We identify exogenous selling pressure in a bond using traders’ sales of other, unrelated bonds. The price impact of a sale depends on who is selling: sales by dealers and hedge funds generate significantly larger impacts than equally sized sales by other investors. We rationalise our findings using a model of differentially informed investors. All else equal, our results suggest that more attention should be devoted to risks to financial stability from these impactful sellers.

Keywords: Fire sales; liquidity; fixed income; financial stability (search for similar items in EconPapers)
JEL-codes: G10 G12 G21 G23 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2024-08-06
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1088

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