Liquidity and Credit Risk Premia in Government Bond Yields

J. Ejsing, Magdalena Grothe, O. Grothe
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引用次数: 52

Abstract

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 any difference in their yields vis-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model-free and model-based gauges of sovereign credit premia, which are an important alternative to the information based on CDS markets. The results allow us to quantify the price impact of so-called JEL Classification: E44, G12, G01
政府债券收益率的流动性和信用风险溢价
本文量化了德国和法国政府债券收益率的流动性和信用溢价。为此,我们估计了政府担保机构债券的期限结构,并利用了这样一个事实,即它们的收益率与政府债券的任何差异都可以归因于流动性溢价的差异。加入无风险利率信息,我们得到了无模型和基于模型的主权信用溢价指标,这是对基于CDS市场信息的重要替代。结果使我们能够量化所谓的JEL分类的价格影响:E44, G12, G01
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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