. 2021 Jun 1;142(1):46–68. doi: 10.1016/j.jfineco.2021.05.052

Table 7.

The effects of Secondary Market Corporate Credit Facility and Primary Dealer Credit Facility on bond liquidity in the crisis period.

This table presents results from estimating Eq. (8), Eq. (9), and their variants. The dependent variable is $C o s t_{j}$ , the transaction cost for trade $j$ , estimated using Eq. (1). $R e g u l a t i o n_{t}$ is a dummy that takes the value of one if the execution date ( $t$ ) is March 20 or after. $I G_{t}$ takes the value of one if trade $j$ occurred in a bond rated investment grade. $P r i m a r y D e a l e r_{t}$ takes the value of one if trade $j$ was executed with a primary dealer. $S h o r t T e r m_{t}$ takes the value of one if trade $j$ was in a bond with remaining maturity of five years or less. Log(Age) and Log(Time to Maturity) refer to the log of number of years since issuance and number of years to maturity, respectively. Credit rating fixed effects are based on each bond's composite rating. Trade size fixed effects are based on the four size categories (i.e., micro, odd lot, round lot, and block). Standard errors are clustered at bond and day levels.

Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
IGRegulation*	−5.181***	−2.44	13.089***	6.261	0.779	0.112	10.642	6.074
	(−2.70)	(−1.26)	(4.74)	(1.35)	(0.20)	(0.04)	(1.26)	(0.85)
IGPrimary Dealer*		−9.289***	−12.918***	7.498	−1.669
		(−3.02)	(−2.59)	(1.11)	(−0.49)
Primary DealerRegulation*		−1.741	9.956*	4.409	7.953
		(−0.44)	(1.72)	(0.62)	(1.27)
IGPrimary DealerRegulation		−10.420**	−5.44	−16.380*	−13.315*
		(−2.50)	(−0.88)	(−1.85)	(−1.86)
Short Term						−19.586	−57.533**	−12.138
						(−1.34)	(−1.99)	(−1.23)
Short TermRegulation*						7.348**	14.333	7.58
						(2.05)	(1.33)	(0.83)
IGShort Term*						12.77	52.304*	16.387
						(1.10)	(1.66)	(1.50)
IGShort TermRegulation						−9.367**	−21.234*	−16.631*
						(−2.45)	(−1.80)	(−1.67)
Log(Time to Maturity)	−6.24	−3.895	51.374*	−25.037	25.970***	−8.57
	(−0.68)	(−0.43)	(1.79)	(−1.45)	(3.56)	(−0.91)
Log(Age)	37.103***	38.371***	71.333***	46.951	331.635***	37.279***	54.28	307.021***
	(8.56)	(8.84)	(7.66)	(1.37)	(6.17)	(8.35)	(0.16)	(3.62)
Bond fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Credit rating fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Dealer fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Trade size fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Day fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Number of observations	178,581	178,581	62,299	20,565	54,014	178,581	13,598	33,113
R²	0.36	0.37	0.42	0.39	0.34	0.36	0.32	0.31