Week InReview: October 14, 2016
Quote of the Week: "I spent last Friday at the Notre Dame conference on current topics in financial regulation, at which there was a certain amount of worrying about bond market liquidity. For instance, Jens Dick-Nielsen presented a paper on 'the cost of immediacy for corporate bonds,' and Stacey Jacobsen presented one on 'capital commitment and illiquidity in corporate bonds, both of which try to answer the question: If bond market liquidity has gotten so bad, why doesn't it show up in any statistics about bid-ask spreads, price impact, etc.? One short answer is that it does show up if you know where to look: in measures of how much capital dealers will commit to trades, and of how much funds pay to access immediacy around index-drop events. Also Itay Goldstein presented on 'investor flows and fragility in corporate bond funds,' because if you are worried about bond market liquidity, worries about runs on bond mutual funds can't be far behind."
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