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  1. Dash for dollars
    Author: Cesa-Bianchi, Ambrogio; Eguren-Martin, Fernando
    Published: July 2021
    Publisher:  Bank of England, London

    Access:
    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 932
    Subjects: Heterogeneity; credit spreads; liquidity; dash-for-cash; US dollar; Covid-19; event-study; identification
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  2. Collateral pledgeability and asset manager portfolio choices during redemption waves
    Author: Fauvrelle, Thiago; Riedel, Max; Skrutkowski, Mathias
    Published: [2024]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    This paper studies whether Eurosystem collateral eligibility played a role in the portfolio choices of euro area asset managers during the "dash-for-cash" episode of 2020. We find that asset managers reduced their allocation to ECB-eligible corporate... more

    Access:
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 431
    Inter-library loan:
    No inter-library loan

     

    This paper studies whether Eurosystem collateral eligibility played a role in the portfolio choices of euro area asset managers during the "dash-for-cash" episode of 2020. We find that asset managers reduced their allocation to ECB-eligible corporate bonds, selling them in order to finance redemptions, while simultaneously increasing their cash holdings. These findings add nuance to previous studies of liquidity strains and price dislocations in the corporate bond market during the onset of the Covid-19 pandemic, indicating a greater willingness of dealers to increase their inventories of corporate bonds pledgeable with the ECB. Analysing the price impact of these portfolio choices, we also find evidence pointing to price pressure for both ECB-eligible and ineligible corporate bonds. Bonds that were held to a larger extent by investment funds in our sample experienced higher price pressure, although the impact was lower for ECB-eligible bonds. We also discuss broader implications for the related policy debate about how central banks could mitigate similar types of liquidity shocks.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/290387
    Series: SAFE working paper ; no. 417 (April 2024)
    Subjects: Investment funds; dash-for-cash; corporate bonds; Eurosystem collateral eligibility
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen