Table 3.

Dealer inventory changes around the COVID-19 crisis.

This table presents the results from estimating Eq. (4), its variant, and Eq. (5). For Columns 1 and 2, sample is from Febuary 1, 2020 to May 19, 2020. For Column 3, sample is from March 6, 2020 to May 11, 2020. The dependent variable is $InvCh{g}_{d,t,r}$, defined as the difference between dealer $d$’s net purchase and its net sales in a broad rating category r (i.e., investment grade or high yield) on day $t$. $Crisi{s}_t$ ($Regulatio{n}_t$) is a dummy that takes the value of one if date ($t$) is March 6 (March 20) or after. $SMCCFExpansio{n}_t$ takes the value of one if date ($t$) is April 9 or after. $SMCCFImplementatio{n}_t$ takes the value of one if date ($t$) is May 12 or after. $I{G}_t$ is a dummy for investment-grade bonds. $PrimaryDeale{r}_t$ takes the value of one if a dealer is a primary dealer. Log(Age) and Log(Time to Maturity) refer to the log of number of years since issuance and number of years to maturity, respectively. Trade size effects are based on the four size categories (i.e., micro, odd lot, round lot, and block). Standard errors are clustered at dealer and day levels.

Variable	(1)	(2)	(3)
Crisis	−1.835**	−1.834**
	(−2.46)	(−2.46)
Regulation	2.551**	2.893**
	(2.44)	(2.33)
SMCCF Expansion		−0.613
		(−1.34)
SMCCF Implementation		0.362
		(0.82)
IG*Prime Dealer			−8.576
			(−1.38)
IG*Regulation			−0.15
			(−0.36)
Prime Dealer*Regulation			−1.419
			(−0.91)
IG*Prime Dealer*Regulation			14.225**
			(2.02)
Dealer fixed effects	Yes	Yes	Yes
Day fixed effects	Yes	Yes	Yes
Rating category fixed effects	Yes	Yes	Yes
Number of observations	38,541	38,541	23,641
R2	0.01	0.01	0.02