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The Volcker Rule and Corporate Bond Market-Making in Times of Stress

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: The Volcker Rule and Corporate Bond Market-Making in Times of Stress
 
Speaker: Maureen O'Hara, UTS,Cornell University
 
Abstract: Focusing on downgrades as stress events that drive the selling of corporate bonds, we document that the illiquidity of stressed bonds has increased after the Volcker Rule.  Dealers regulated by the Rule have decreased their market-making activities while non-Volcker-affected dealers have stepped in to provide some additional liquidity.  Furthermore, even Volcker-affected dealers that are not constrained by Basel III and CCAR regulations change their behavior, inconsistent with the effects being driven by these other regulations.  Since Volcker-affected dealers have been the main liquidity providers, the net effect is that bonds are less liquid during times of stress due to the Volcker Rule.
 
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 27th March.
 
Date: Wednesday, 29th March 2017      
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
            Building 8
            Dr Chau Chak Wing Building
            14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)

When

29 March 2017
12:00 pm - 1:00 pm

Where

City - HaymarketCB08 Dr Chau Chak Wing Building, Building 8