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SUMMARY:Corporate Bond Multipliers: Substitutes Matter
DTSTART:20230929T103000
DTEND:20230929T120000
DTSTAMP:20260414T133128Z
UID:c8a1885e11a6a9fbb819c52bd51ba625de76c4aef1865f45cdb1a49e
CATEGORIES:Conferences - Seminars
DESCRIPTION:Jane (Jian) Li - Columbia University\nMany economic questions 
 require estimating the price impact of demand shifts in the bond market. I
 n spite of corporate bonds having salient characteristics that distinguish
  close versus distant substitutes\, existing estimates of corporate bond m
 ultipliers (the price increase in response to demand shifts) typically ass
 ume that all bonds\, regardless of their characteristics\, are equally goo
 d substitutes. In this paper\, we show that accounting for the heterogeneo
 us substitutability between bonds is critical for estimating multipliers. 
 By allowing rich heterogeneous substitution patterns among bonds\, we demo
 nstrate that security-level multipliers are an order of magnitude smaller 
 than previously estimated and are essentially zero. Nonetheless\, aggregat
 ed portfolios exhibit substantially larger multipliers\, reflecting the re
 duced availability of near substitutes for more aggregated portfolios. Fur
 thermore\, we find that the price impact reverts after a quarter\, and tha
 t the multiplier is larger for high-yield bonds\, longer-maturity bonds\, 
 and bonds with greater arbitrage risks.
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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