主題：Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

主講人：Kairong Xiao，哥倫比亞商學院助理教授

時間：11月4日（周三）上午10:00-11:30

地點：4-101教室

語言：英文

摘要：

Traditionally liquid asset markets, such as those for Treasuries and high-quality corporate bonds, were strained by unusually high selling pressures during the Covid-19 pandemic, which contrasts with the flight to liquidity phenomenon observed in past crises. We identify the increased role of fixed-income mutual funds in liquidity transformation as an important contributing factor to this phenomenon. Unlike banks that issue demandable debt, mutual funds issue demandable equity that exposes investors' redemption value to fluctuations in economic fundamentals. With a large negative shock to economic fundamentals in the Covid-19 crisis, concerns about economic fundamentals coupled with asset illiquidity lead to pronounced outflows from fixed-income mutual funds. Because funds follow a pecking order of liquidation first selling more liquid assets before moving on to more-illiquid ones, fund out flows generated concentrated selling pressures in traditionally more liquid asset markets. Investors' flight out of fund shares was thereby turned into the observed reverse flight to liquidity. As liquidity transformation increasingly migrates from banks to mutual funds, strains in liquid asset markets may become more prevalent. To this end, the purchase of risky securities by the central bank may serve as an important policy tool for stabilizing liquidity transformation and liquid asset markets.

主講人簡介：

Professor Kairong Xiao is a financial economist whose research interests span financial intermediation, industrial organization, and political economy. His work has been published in the Journal of Finance, the Review of Financial Studies, and Management Science. Prior to joining Columbia, Kairong Xiao received his B.A. in Economics and Finance from the University of Hong Kong, M.A. in Economics and Ph.D. in Finance from the University of British Columbia.