据RFS官网显示，来自香港中文大学的江文熙、香港大学的黄诗杨、国际清算银行的Xiaoxi Liu、澳门大学的劉昕，合作撰写的论文《Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds》在国际金融学顶刊《Review of Financial Studies》上发表。

\\\\\\\\\  Title  ////////

Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds

流动性管理是否导致国债价格的脆弱性？来自债券共同基金的证据

摘   要

Mutual funds investing in illiquid corporate bonds actively manage Treasury positions to buffer redemption shocks. This liquidity management practice can transmit non-fundamental fund flow shocks onto Treasuries, generating excess return volatility. Consistent with this hypothesis, we find that Treasury excess return volatility is positively associated with bond fund ownership, and this pattern is more pronounced among funds conducting intensive liquidity management. Causal evidence is provided by exploiting the U.S. Securities and Exchange Commission’s 2017 Liquidity Risk Management Rule. Evidence also suggests that the COVID-19 Treasury market turmoil was attributed to intensified liquidity management, an unintended consequence of the 2017 Liquidity Risk Management Rule.

投资于非流动性公司债券的共同基金积极管理国债头寸以缓冲赎回冲击。这种流动性管理实践可以将非基本面基金流动冲击传导到国债，产生超额回报波动。与这一假设一致，本文发现国债超额回报波动与债券基金所有权正相关，并且在进行密集流动性管理的基金中这种模式更为明显。通过利用美国证券交易委员会2017年的流动性风险管理规则，本文提供了因果证据。证据还表明，COVID-19期间国债市场的动荡归因于加强的流动性管理，这是2017年流动性风险管理规则的一个意外后果。

扫码查看原文