主題：Mutual Fund Fragility, Dealer Liquidity Provisions, and the Pricing of Municipal Bonds

主講人：Xing (Alex) Zhou，美國聯邦儲備委員會經濟學家

時間：3月30日（周三）上午10:00-11:30

地點：4-101教室

語言：英文

 

摘要：

Against the backdrop of COVID-19, we study how the interactions of mutual funds and dealers introduce fragility to the municipal bond market and induce lasting market impacts. During the crisis, trading surges while dealers’ liquidity provision plunges for mutual-fund-held bonds, leading to greater price depressions in these bonds. Importantly, the crisis reshapes the market’s perceptions of mutual fund fragility risks, with the aftermath-yield spreads widening significantly more for bonds with greater mutual fund exposures. Such post-crisis pricing effects reflect dealers’ continued reluctance to provide liquidity for mutual-fund-held bonds and they are stronger for bonds whose mutual fund holders are more susceptible to investor runs.