Staff Reports
It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities
Number 935
July 2020

JEL classification: G12, G18, G19

Authors: Nina Boyarchenko, Anna Kovner, and Or Shachar

We document that the announcement of the corporate credit facilities by the Federal Reserve (PMCCF and SMCCF) had an immediate positive impact on corporate bond market prices and liquidity, with a third of the effect realized on the announcement date. We document immediate pass-through into primary markets, particularly for eligible issuers. Improvements continue after the initial announcement is made 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 that the improvement in corporate credit markets can be attributed both to announcement effects of Federal Reserve interventions on the economy more broadly as well as to the facilities specifically, through differential effects on eligible issues.

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AUTHOR DISCLOSURE STATEMENT(S)
Nina Boyarchenko
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.

Anna Kovner
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.

Or Shachar
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.