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Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis

Citations

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Cited by:

  1. Ricci, Lorenzo & Soggia, Giovanni & Trimarchi, Lorenzo, 2023. "The impact of bank lending standards on credit to firms," Journal of Banking & Finance, Elsevier, vol. 152(C).
  2. Chung, Kee H. & Chuwonganant, Chairat, 2023. "COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading," Journal of Financial Markets, Elsevier, vol. 64(C).
  3. Zaghini, Andrea, 2024. "Unconventional green," Journal of Corporate Finance, Elsevier, vol. 85(C).
  4. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  5. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
  6. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
  7. Christina Christou & Konstantinos Eleftheriou & Patroklos Patsoulis, 2024. "Convergence behavior of sovereign bond yields in the EU and COVID-19 government responses," Letters in Spatial and Resource Sciences, Springer, vol. 17(1), pages 1-16, December.
  8. Kamate, Vidya, 2023. "Unconventional monetary policy measures and money markets: Estimating the impact of targeted repo operations on asset prices," Finance Research Letters, Elsevier, vol. 55(PB).
  9. Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
  10. Li, Pan & Chen, Kecai & Zhu, Xiaoneng, 2024. "Extreme Sentiment and Jumps in Analyst Forecast Dispersion," Finance Research Letters, Elsevier, vol. 62(PA).
  11. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 36, Bank of Italy, Directorate General for Markets and Payment System.
  12. Hao, Xiangchao & Sun, Qinru & Xie, Fang, 2022. "The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence," Economic Modelling, Elsevier, vol. 109(C).
  13. Comerton-Forde, Carole & Ford, Billy & Foucault, Thierry & Jurkatis, Simon, 2025. "Investors as a Liquidity Backstop in Corporate Bond Markets," HEC Research Papers Series 1564, HEC Paris.
  14. repec:bdi:wptemi:misp_036_23 is not listed on IDEAS
  15. Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024. "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series 726, Center for Financial Studies (CFS).
  16. Gabor Pinter & Semih Uslu, 2022. "Comparing search and intermediation frictions across markets," Bank of England working papers 974, Bank of England.
  17. Riedel, Max & Skrutkowski, Mathias & Fauvrelle, Thiago, 2025. "Collateral pledgeability and asset manager portfolio choices during redemption waves," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325430, Verein für Socialpolitik / German Economic Association.
  18. Boudiaf, Ismael Alexander & Scheicher, Martin & Frieden, Immo, 2024. "The market liquidity of interest rate swaps," ESRB Working Paper Series 147, European Systemic Risk Board.
  19. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  20. Ulf Lewrick & Jochen Schanz, 2023. "Towards a Macroprudential Framework for Investment Funds: Swing Pricing and Investor Redemptions," International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 229-267, August.
  21. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
  22. Szymczyk Łukasz & Van Horne Richard & Perez Katarzyna, 2022. "Modeling Distress in US High Yield Mutual Funds Before and During the Covid-19 Pandemic," Folia Oeconomica Stetinensia, Sciendo, vol. 22(1), pages 263-286, June.
  23. Sirio Aramonte, 2025. "The case for supporting liquidity supply in (some corners of) non-bank intermediation," International Finance Discussion Papers 1425, Board of Governors of the Federal Reserve System (U.S.).
  24. Deng, Chao & Chen, Keyuan & Yu, Li & He, Yinxi & Hong, Yun & Jiang, Yanhui, 2025. "The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  25. Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2024. "Liquidity buffers and open-end investment funds: Containing outflows or reducing fire sales?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  26. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2022. "The Primary and Secondary Corporate Credit Facilities," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
  27. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
  28. Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "The Term Structure of the Excess Bond Premium: Measures and Implications," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2021(12), September.
  29. Shi, Ning & Wang, Ying & Chen, Wenzhe, 2022. "Many hands make light work: Evidence from China’s anti-epidemic bonds," Economics Letters, Elsevier, vol. 214(C).
  30. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
  31. Coppola, Anna & Urga, Giovanni & Varaldo, Alessandro, 2025. "Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets," Journal of Financial Stability, Elsevier, vol. 76(C).
  32. Koji Takahashi & Sumiko Takaoka, 2025. "Corporate Bond Purchase Program and Corporate Debt Issuance: Evidence from Japanese Corporate Bond Marketing News," IMES Discussion Paper Series 25-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
  33. Jacobsen, Stacey & Venkataraman, Kumar, 2025. "Receiving investors in the block market for corporate bonds," Journal of Financial Economics, Elsevier, vol. 170(C).
  34. Xu, Hui & Pennacchi, George G., 2023. "Benchmarking the effects of the Fed's Secondary Market Corporate Credit Facility using Yankee bonds," Journal of Financial Markets, Elsevier, vol. 64(C).
  35. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," CEPR Discussion Papers 18122, C.E.P.R. Discussion Papers.
  36. Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  37. Bedford, Anna & Bugeja, Martin & Ghannam, Samir & Jeganathan, Davina & Ma, Nelson, 2023. "Were CEO pay cuts during the COVID-19 pandemic merely symbolic? Shareholders' reaction and outrage," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  38. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
  39. Zhao, Chaoyi & Chen, Yufan & Wu, Lintong & Dai, Yuehao & Chen, Ermo & Wu, Lan & Zhang, Ruixun, 2025. "High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
  40. Claudiu Tiberiu Albulescu & Eugenia Grecu, 2023. "Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis," Mathematics, MDPI, vol. 11(5), pages 1-14, February.
  41. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2024. "The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF," Journal of Monetary Economics, Elsevier, vol. 146(C).
  42. Cohen, Assa & Kargar, Mahyar & Lester, Benjamin & Weill, Pierre-Olivier, 2024. "Inventory, market making, and liquidity in OTC markets," Journal of Economic Theory, Elsevier, vol. 222(C).
  43. Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021. "Dash for Dollars," CEPR Discussion Papers 16415, C.E.P.R. Discussion Papers.
  44. Nguyen, Harvey & Pham, Anh Viet & Pham, Man Duy (Marty) & Pham, Mia Hang, 2023. "Business resilience: Lessons from government responses to the global COVID-19 crisis," International Business Review, Elsevier, vol. 32(5).
  45. Ekaterina E. Emm & Gerald D. Gay & Han Ma & Honglin Ren, 2022. "Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 823-851, May.
  46. Travis Cable & Amir Mani & Wei Qi & Georgios Sotiropoulos & Yiyuan Xiong, 2025. "On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution," Papers 2504.06289, arXiv.org.
  47. Breckenfelder, Johannes & Schepens, Glenn, 2025. "From purchases to exit: central bank interventions in corporate debt markets," Working Paper Series 3055, European Central Bank.
  48. Noam Michelson, 2025. "Assessing the Impact of Corporate Bond Purchase Programs: Insights from Israel," Bank of Israel Working Papers 2025.07, Bank of Israel.
  49. John M Griffin & Jordan Nickerson, 2023. "Are CLO Collateral and Tranche Ratings Disconnected?," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2319-2360.
  50. Kuong, John Chi-Fong & O’Donovan, James & Zhang, Jinyuan, 2024. "Monetary policy and fragility in corporate bond mutual funds," Journal of Financial Economics, Elsevier, vol. 161(C).
  51. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.
  52. Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
  53. Yang, Jie & Bao, Mengqi & Chen, Siqi, 2025. "“A retreat to safety”: Why COVID-19 make firms more risk-averse?," International Review of Financial Analysis, Elsevier, vol. 97(C).
  54. Nicola Branzoli & Raffaele Gallo & Antonio Ilari & Dario Portioli, 2023. "Financial fragilities and risk-taking of corporate bond funds in the aftermath of central bank policy interventions," Temi di discussione (Economic working papers) 1404, Bank of Italy, Economic Research and International Relations Area.
  55. Jiang, Christine & Zhang, Xiaori & Hu, Bill, 2024. "Government reporting credibility as immunity: Evidence from a public health event," Journal of Multinational Financial Management, Elsevier, vol. 73(C).
  56. Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Liquidity buffers and open-end investment funds: containing outflows and reducing fire sales," Working Paper Series 2825, European Central Bank.
  57. Yuteng Cheng & Roberto Robatto, 2024. "Fire Sales and Liquidity Requirements," Staff Working Papers 24-18, Bank of Canada.
  58. Ha, JinGi, 2025. "Digital communication and informed trading: Evidence from social distancing orders," Finance Research Letters, Elsevier, vol. 74(C).
  59. Baig, Ahmed S. & Chen, Mengxi, 2022. "Did the COVID-19 pandemic (really) positively impact the IPO Market? An Analysis of information uncertainty," Finance Research Letters, Elsevier, vol. 46(PB).
  60. Koont, Naz & Ma, Yiming & Pástor, Luboš & Zeng, Yao, 2022. "Steering a Ship in Illiquid Waters: Active Management of Passive Funds," CEPR Discussion Papers 17283, C.E.P.R. Discussion Papers.
  61. Branzoli, Nicola & Gallo, Raffaele & Ilari, Antonio & Portioli, Dario, 2024. "Central banks’ corporate asset purchase programmes and risk-taking by bond funds in the aftermath of market stress," Journal of Financial Stability, Elsevier, vol. 72(C).
  62. Fauvrelle, Thiago & Riedel, Max & Skrutkowski, Mathias, 2024. "Collateral pledgeability and asset manager portfolio choices during redemption waves," SAFE Working Paper Series 417, Leibniz Institute for Financial Research SAFE.
  63. Gianfranco Gianfrate & Mirco Rubin & Dario Ruzzi & Mathijs Dijk, 2024. "On the resilience of ESG firms during the COVID-19 crisis: evidence across countries and asset classes," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(8), pages 1069-1084, October.
  64. Liao Xu & Jilong Chen & Hao Xu, 2023. "Market sentiment to COVID‐19 and the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1121-1135, April.
  65. Wang, Qiyu & Yang, Junhong & Chong, Terence Tai-Leung, 2025. "Creditable bonds’ multifunctional roles during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  66. Dutordoir, Marie & Shemesh, Joshua & Veld, Chris & Wang, Qing, 2024. "Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?," Journal of Empirical Finance, Elsevier, vol. 79(C).
  67. Grahame Johnson, 2023. "A Review of the Bank of Canada’s Market Operations related to COVID-19," Discussion Papers 2023-6, Bank of Canada.
  68. Chiappini, Raphaël & Groslambert, Bertrand & Bruno, Olivier, 2024. "A method to measure bank output while excluding credit risk and retaining liquidity effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 167-179.
  69. Di Tommaso, Caterina & Perdichizzi, Salvatore & Vigne, Samuel & Zaghini, Andrea, 2025. "Is the Government always greener?," Energy Economics, Elsevier, vol. 152(C).
  70. Abuelfadl, Moustafa & Yamani, Ehab, 2025. "The response of emerging financial markets to IMF news during COVID-19 pandemic11We are grateful for the comments and suggestions of Ali Kutan, Kate Phylaktis, Mahmoud Mohieldin and Galina Hale," International Review of Economics & Finance, Elsevier, vol. 101(C).
  71. Antoine Martin & Susan McLaughlin, 2022. "The Primary Dealer Credit Facility," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
  72. Cohen, Lior & Furman, Itai, 2024. "The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market," Economics Letters, Elsevier, vol. 235(C).
  73. Choi, Dong Beom & Yorulmazer, Tanju, 2024. "Whatever it takes? Market maker of last resort and its fragility," Journal of Financial Intermediation, Elsevier, vol. 60(C).
  74. repec:srk:srkwps:20240 is not listed on IDEAS
  75. Thomas M. Eisenbach & Gregory Phelan, 2023. "Fragility of Safe Assets," Working Papers 23-02, Office of Financial Research, US Department of the Treasury.
  76. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  77. Ana Fiorella Carvajal & Ricardo Bebczuk, 2024. "Liquidity In Corporate Markets," World Bank Publications - Reports 41408, The World Bank Group.
  78. Falk Bräuning & José L. Fillat & J. Christina Wang, 2024. "Did High Leverage Render Small Businesses Vulnerable to the COVID‐19 Shock?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(6), pages 1367-1403, September.
  79. Gábor Pintér & Chaojun Wang & Junyuan Zou, 2022. "Information chasing versus adverse selection," Bank of England working papers 971, Bank of England.
  80. Duncan, Elizabeth & Horvath, Akos & Iercosan, Diana & Loudis, Bert & Maddrey, Alice & Martinez, Francis & Mooney, Timothy & Ranish, Ben & Wang, Ke & Warusawitharana, Missaka & Wix, Carlo, 2022. "COVID-19 as a stress test: Assessing the bank regulatory framework," Journal of Financial Stability, Elsevier, vol. 61(C).
  81. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
  82. Chen, Zhuo & Li, Pengfei & Liao, Li & Liu, Lu & Wang, Zhengwei, 2024. "Assessing and addressing the coronavirus-induced economic crisis: Evidence from 1.5 billion sales invoices," China Economic Review, Elsevier, vol. 85(C).
  83. Bordo, Michael D. & Duca, John V., 2022. "How new Fed corporate bond programs cushioned the Covid-19 recession," Journal of Banking & Finance, Elsevier, vol. 136(C).
  84. Corradin, Stefano & Schwaab, Bernd, 2023. "Euro area sovereign bond risk premia before and during the Covid-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
  85. Thiago Fauvrelle & Mathias Skrutkowski, 2023. "Collateral pledgeability and asset manager portfolio choices during redemption waves," Working Papers 58, European Stability Mechanism, revised 12 Dec 2023.
  86. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
  87. Acharya, Viral V. & Plantin, Guillaume & Reggiani, Pietro & Yao, Iris, 2024. "Monetary easing, lack of investment and financial instability," Journal of Financial Intermediation, Elsevier, vol. 59(C).
  88. Hasan, Iftekhar & Marra, Miriam & To, Thomas Y. & Wu, Eliza & Zhang, Gaiyan, 2023. "COVID-19 Pandemic and Global Corporate CDS Spreads," Journal of Banking & Finance, Elsevier, vol. 147(C).
  89. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
  90. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
  91. Roberto Vincenzi, 2025. "Voluntary disclosures and monetary policy: evidence from quantitative easing," Review of Accounting Studies, Springer, vol. 30(1), pages 650-701, March.
  92. Changyun Wang & Chenyu Wang & Weixing Wu, 2023. "Customers' stock price crash risk and suppliers' investment inefficiency: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5069-5092, December.
  93. Jin, Xuejun & Li, Hongze & Yu, Bin & Zheng, Yijing, 2023. "How does the COVID-19 pandemic change the disposition effect in fund investors?," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
  94. Candelon, Bertrand & Moura, Rubens, 2023. "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, vol. 127(C).
  95. Chan, Kam Fong & Chen, Zhuo & Wen, Yuanji & Xu, Tong, 2022. "COVID-19 vaccines and global stock markets," Finance Research Letters, Elsevier, vol. 47(PB).
  96. Antoine Martin & Susan McLaughlin, 2021. "COVID Response: The Primary Dealer Credit Facility," Staff Reports 981, Federal Reserve Bank of New York.
  97. Samuel J. Hempel & Dasol Kim & Russ Wermers, 2022. "Financial Intermediary Funding Constraints and Segmented Markets," Working Papers 22-01, Office of Financial Research, US Department of the Treasury.
  98. Puhr, Harald & Müllner, Jakob, 2022. "Foreign to all but fluent in many: The effect of multinationality on shock resilience," Journal of World Business, Elsevier, vol. 57(6).
  99. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
  100. Liu, Yan & Cheng, Xian & Liao, Stephen Shaoyi & Yang, Feng, 2023. "The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  101. Anderson, Christopher S. & McArthur, David C. & Wang, Ke, 2023. "Internal risk limits of dealers and corporate bond market making," Journal of Banking & Finance, Elsevier, vol. 147(C).
  102. repec:fip:a00001:94155 is not listed on IDEAS
  103. Changhyun Lee, 2024. "The outside option channel of central bank asset purchase programs: A tale of two crises," Working Papers 363, University of California, Davis, Department of Economics.
  104. Diego Leal Gonzalez & Bryan Stanhouse & Duane Stock & Xin Yue Zhou, 2025. "Nonlinear structural estimation of corporate bond liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 799-827, February.
  105. Huang, Alan Guoming & Wermers, Russ & Xue, Jinming, 2023. ""Buy the rumor, sell the news": Liquidity provision by bond funds following corporate news events," CFR Working Papers 23-07, University of Cologne, Centre for Financial Research (CFR).
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