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It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities


  • Nina Boyarchenko
  • Anna Kovner
  • Or Shachar


We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF). A third of the positive effect on prices and liquidity occurred on the announcement date. We document immediate pass-through into primary markets, particularly for eligible issuers. Improvements continue as additional information is shared and purchases begin, with the impact of bond purchases larger than the impact of purchases of ETFs. Exploiting cross-sectional evidence, we see the greatest impact on investment grade bonds and in industries less affected by COVID, concluding that the improvement in corporate credit markets can be attributed both to announcement effects of Federal Reserve interventions on the economy and to the specific differential impact of the facilities on eligible issues.

Suggested Citation

  • Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," Staff Reports 935, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednsr:88407
    Note: Revised November 2020.

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    References listed on IDEAS

    1. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2020. "Corporate Bond Liquidity During the COVID-19 Crisis," NBER Working Papers 27355, National Bureau of Economic Research, Inc.
    2. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    3. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 361-407.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017. "Dealer balance sheets and bond liquidity provision," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 92-109.
    7. Nina Boyarchenko & Anna M. Costello & Or Shachar, 2018. "Credit Market Choice," Liberty Street Economics 20181017, Federal Reserve Bank of New York.
    8. Andreas Schrimpf & Hyun Song Shin & Vladyslav Sushko, 2020. "Leverage and margin spirals in fixed income markets during the Covid-19 crisis," BIS Bulletins 2, Bank for International Settlements.
    9. Grosse-Rueschkamp, Benjamin & Steffen, Sascha & Streitz, Daniel, 2019. "A capital structure channel of monetary policy," Journal of Financial Economics, Elsevier, vol. 133(2), pages 357-378.
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    Cited by:

    1. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Anatomy of Corporate Credit Spreads: The Great Recession vs. COVID-19," Working Papers 2020-035, Federal Reserve Bank of St. Louis.
    2. Filippo Occhino, 2020. "Quantitative Easing and Direct Lending in Response to the COVID-19 Crisis," Working Papers 202029, Federal Reserve Bank of Cleveland.

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    More about this item


    corporate credit facilities; bond liquidity; credit spreads; purchase effects;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G19 - Financial Economics - - General Financial Markets - - - Other


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