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Bond Losses and Systemic Risk

Research output: Working paper

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Bond Losses and Systemic Risk. / Barbosa, Klenio; De Silva, Dakshina; Yang, Liyu et al.
Lancaster: Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Research output: Working paper

Harvard

Barbosa, K, De Silva, D, Yang, L & Yoshimoto, H 2020 'Bond Losses and Systemic Risk' Economics Working Papers Series, Lancaster University, Department of Economics, Lancaster.

APA

Barbosa, K., De Silva, D., Yang, L., & Yoshimoto, H. (2020). Bond Losses and Systemic Risk. (Economics Working Papers Series). Lancaster University, Department of Economics.

Vancouver

Barbosa K, De Silva D, Yang L, Yoshimoto H. Bond Losses and Systemic Risk. Lancaster: Lancaster University, Department of Economics. 2020 Jan. (Economics Working Papers Series).

Author

Barbosa, Klenio ; De Silva, Dakshina ; Yang, Liyu et al. / Bond Losses and Systemic Risk. Lancaster : Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Bibtex

@techreport{145885fcf9c44a89b9e0f9913df37076,
title = "Bond Losses and Systemic Risk",
abstract = "This paper documents the existence of primary dealers' losses in Treasury bond markets and investigates how these losses affect dealers' market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are prevalent and were severe during the financial crisis. Our results indicate that liquidity constraints are a major source of bond losses observed in primary-to-secondary trades. We also find that financial sector value is correlated with these losses.Using an alternating market experiment, we show that bond losses are higher under discriminatory auctions as compared to uniform auctions.",
keywords = "Bond Losses, Treasury Bonds, Liquidity Constraint, Auction Mechanisms",
author = "Klenio Barbosa and {De Silva}, Dakshina and Liyu Yang and Hisayuki Yoshimoto",
year = "2020",
month = jan,
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Bond Losses and Systemic Risk

AU - Barbosa, Klenio

AU - De Silva, Dakshina

AU - Yang, Liyu

AU - Yoshimoto, Hisayuki

PY - 2020/1

Y1 - 2020/1

N2 - This paper documents the existence of primary dealers' losses in Treasury bond markets and investigates how these losses affect dealers' market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are prevalent and were severe during the financial crisis. Our results indicate that liquidity constraints are a major source of bond losses observed in primary-to-secondary trades. We also find that financial sector value is correlated with these losses.Using an alternating market experiment, we show that bond losses are higher under discriminatory auctions as compared to uniform auctions.

AB - This paper documents the existence of primary dealers' losses in Treasury bond markets and investigates how these losses affect dealers' market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are prevalent and were severe during the financial crisis. Our results indicate that liquidity constraints are a major source of bond losses observed in primary-to-secondary trades. We also find that financial sector value is correlated with these losses.Using an alternating market experiment, we show that bond losses are higher under discriminatory auctions as compared to uniform auctions.

KW - Bond Losses

KW - Treasury Bonds

KW - Liquidity Constraint

KW - Auction Mechanisms

M3 - Working paper

T3 - Economics Working Papers Series

BT - Bond Losses and Systemic Risk

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -