Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang
نویسندگان
چکیده
We use the advent of new credit default swap (CDS) trading conventions in April 2009—the CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After Bang, traders are required pay upfront fees execute transactions, with size depending on level spreads. While bid-ask spreads decline aggregate after they do so less for contracts that require larger fees. Furthermore, effect is stronger smaller and riskier firms noncentrally cleared contracts. The also becomes Deutsche Bank's exit.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2020.08.004