کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7360817 1478833 2015 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Liquidity and credit premia in the yields of highly-rated sovereign bonds
ترجمه فارسی عنوان
نقدینگی و وام های اعتباری در بازده اوراق قرضه مستقل با ریسک بالا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that differences in their yields vis-à-vis government bonds are mainly driven by liquidity effects. Adding information on benchmark rates, we estimate liquidity and credit premia as latent factors in a state-space framework. The results allow us, first, to quantify the price impact of safe-haven flows on sovereign yields, which strongly affected very liquid bond markets during the recent financial crisis. Second, we quantify credit premia for highly rated governments, offering an important alternative to the information based on CDS markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 33, September 2015, Pages 160-173
نویسندگان
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