金融与财务学系系列讲座之284期

 

时   间:2023年6月2日(周五)13:30-15:00

地   点:史带楼504室

   题:Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

演讲者:Zhaogang Song

              Professor of Finance, Johns Hopkins University, Carey Business School

摘    要:

We study price dislocations and liquidity provision by dealers and the Federal Reserve (Fed) as the “dealer of last resort” in agency MBS markets during the COVID-19 crisis. As customers sold MBS to “scramble for cash,” dealers provided liquidity by taking inventory in the cash market and hedging inventory risk in the forward market. The cash and forward prices diverged significantly beyond the difference in the quality of MBS traded on the two markets. The Fed first facilitated dealers’ inventory hedging and then took holdings off dealers’ inventory directly. The price dislocations began to revert only after the Fed’s latter action, when customer selling was still strong.

简    介:

Zhaogang Song is a Professor of Finance at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, Song held the position of Economist at the Board of Governors of the Federal Reserve System. Song's academic research studies asset pricing, market structure and liquidity, nonbank financial intermediaries, FinTech, monetary policy, China financial markets, and financial econometrics. He has published research articles in leading academic journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, and Management Science. Song holds a PhD in Economics from Cornell University, as well as a BA in Management Science and Engineering and a MA in Finance, both from Shandong University, China.

 

 

金融与财务学系

2023-5-29