The Dark Side of Liquid Bonds in Fire Sales

The authors thank Tobias Berg, John Chalmers, Andrew Ellul, Nathan Foley-Fisher, Thomas Gehrig, Roberto Gutierrez, Christian Kubitza, Christian Laux, Alberto Manconi, Olivia Mitchell, Stanislava Nikolova, Robert Ready, seminar participants at the ESCP Business School in Paris, University of St. Gallen, University of Iowa, Temple University, Carnegie Mellon University, University of Hohenheim, University of Oregon, and conference participants and discussants at the American Finance Association meeting 2019, Midwest Finance Association meeting 2019, Financial Intermediation Research Society meeting 2018, Risk Theory Society meeting 2018, Women in Finance 2018, 6th International Moscow Finance and Economics Conference 2017, Gerzensee European Summer Symposium in Financial Markets 2017, and meeting of the European Group of Risk and Insurance Economists 2017 for insightful comments and suggestions; Darrell Duffie, Nicolae Gârleanu, and Lasse Pedersen for extensive discussions about their model, solution technique, and numerical examples; and Lukas Schmid (editor), the anonymous associate editor, and the referees for thoughtful comments and suggestions that greatly improved the paper.