时    间：2022年9月20日（周二）15:30-17:30

地    点：史带楼303室

题    目：A Macroeconomic Model with Bond Market Liquidity

主讲人：常惠丰 青年副研究员  复旦大学管理学院

摘   要：

Do disruptions in market liquidity of long-term bonds have a quantitatively important impact on the macroeconomy? This paper introduces search-based secondary markets for long-term corporate bonds into a dynamic general equilibrium model. In the model, with borrowing constraints and incomplete insurance, firms restrict hiring ex-ante when default risk increases. A worsening of bond market liquidity, by affecting bond prices and thus the borrowing limits for firms, has aggregate negative impact on firms’ labor choices. A positive default-liquidity spiral further amplifies these effects. In the quantitative analysis of my model, I show that a liquidity shock calibrated to match the observed increase in the bid-ask spread could explain about 20% of the employment losses in the Great Recession. The paper also provides a structural estimate of the impacts of the Fed’s corporate bond purchasing program on the real economy during the COVID-19 crisis. By improving bond market liquidity, the Fed’s interventions avoided a 2 percentage point drop in employment.

个人简介：

Huifeng Chang is an assistant professor in economics at the School of Management, Fudan University. Her research focuses on the relationship between financial markets and the macroeconomy, and she is particularly interested in bond markets, financial crises and government interventions, and digital currency and banking. Huifeng received her M.A. and B.A. in economics from Peking University, and received her Ph.D. in economics from the University of California, Los Angeles.