{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T04:16:21Z","timestamp":1760242581102,"version":"build-2065373602"},"reference-count":27,"publisher":"MDPI AG","issue":"4","license":[{"start":{"date-parts":[[2017,12,6]],"date-time":"2017-12-06T00:00:00Z","timestamp":1512518400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/100000001","name":"National Science Foundation","doi-asserted-by":"publisher","award":["1445403"],"award-info":[{"award-number":["1445403"]}],"id":[{"id":"10.13039\/100000001","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Systems"],"abstract":"<jats:p>In this paper, we introduce a small-scale heterogeneous agent-based model of the US corporate bond market. The model includes a realistic micro-grounded ecology of investors that trade a set of bonds through dealers. Using the model, we simulate market dynamics that emerge from agent behaviors in response to basic exogenous factors (such as interest rate shocks) and the introduction of regulatory policies and constraints. A first experiment focuses on the liquidity transformation provided by mutual funds and investigates the conditions under which redemption-driven bond sales may trigger market instability. We simulate the effects of increasing mutual fund market shares in the presence of market-wide repricing of risk (in the form of a 100 basis point increase in the expected returns). The simulations highlight robust-yet-fragile aspects of the growing liquidity transformation provided by mutual funds, with an inflection point beyond which redemption-driven negative feedback loops trigger market instability.<\/jats:p>","DOI":"10.3390\/systems5040054","type":"journal-article","created":{"date-parts":[[2017,12,6]],"date-time":"2017-12-06T11:29:36Z","timestamp":1512559776000},"page":"54","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Using Agent-Based Modeling to Assess Liquidity Mismatch in Open-End Bond Funds"],"prefix":"10.3390","volume":"5","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4900-8244","authenticated-orcid":false,"given":"Donald","family":"Berndt","sequence":"first","affiliation":[{"name":"Muma College of Business, University of South Florida, 4202 East Fowler Avenue, Tampa, FL 33620, USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3078-5526","authenticated-orcid":false,"given":"David","family":"Boogers","sequence":"additional","affiliation":[{"name":"FinaMetrics LLC, Tampa, FL 33647, USA"}]},{"given":"Saurav","family":"Chakraborty","sequence":"additional","affiliation":[{"name":"Muma College of Business, University of South Florida, 4202 East Fowler Avenue, Tampa, FL 33620, USA"}]},{"given":"James","family":"McCart","sequence":"additional","affiliation":[{"name":"Muma College of Business, University of South Florida, 4202 East Fowler Avenue, Tampa, FL 33620, USA"}]}],"member":"1968","published-online":{"date-parts":[[2017,12,6]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","unstructured":"Flood, M.D., Liechty, J.C., and Piontek, T. (2015). Systemwide Commonalities in Market Liquidity, Office of Financial Research. Technical Report, 15-11.","DOI":"10.2139\/ssrn.2612348"},{"key":"ref_2","unstructured":"Barclays (2015). Mutual Funds and Credit Liquidity, Nobody Move, Barclays Credit Research."},{"key":"ref_3","unstructured":"Board of Governors of the Federal Reserve System (US) (2017, October 01). 10-Year Treasury Constant Maturity Rate [DGS10]; FRED, Federal Reserve Bank of St. Louis, St. Louis, MO, USA. Available online: https:\/\/fred.stlouisfed.org\/series\/DGS10."},{"key":"ref_4","unstructured":"Citi Research (2017). Partying Like It\u2019s 2007, European Credit Weekly."},{"key":"ref_5","unstructured":"Roubini, N. (2017, March 11). The Liquidity Time Bomb. Available online: https:\/\/www.project-syndicate.org\/commentary\/liquidity-market-volatility-flash-crash-by-nouriel-roubini-2015-05."},{"key":"ref_6","unstructured":"Board of Governors of the Federal Reserve System (US) (2017, October 01). 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US Credit Strategy, Signs of Liquidity Vacuum in Unexpected Places, Deutsche Bank Markets Research."}],"container-title":["Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2079-8954\/5\/4\/54\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T18:52:48Z","timestamp":1760208768000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2079-8954\/5\/4\/54"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,12,6]]},"references-count":27,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2017,12]]}},"alternative-id":["systems5040054"],"URL":"https:\/\/doi.org\/10.3390\/systems5040054","relation":{},"ISSN":["2079-8954"],"issn-type":[{"type":"electronic","value":"2079-8954"}],"subject":[],"published":{"date-parts":[[2017,12,6]]}}}