德国国债收益率和债券供应:是否存在“德国国债溢价”?

Anne-Charlotte Paret, A. Weber
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引用次数: 5

摘要

德国国债特别吗?本文估计“德国国债溢价”是其他主权安全资产与德国国债之间的便利收益率之差,经主权信用风险、流动性和掉期市场摩擦调整后。较高的溢价表明主权债券的可替代性较差。我们记录了后危机时期“国债溢价”的上升。我们表明,溢价与德国主权债券的相对供应量呈负相关关系,这在期限越长和债券市场波动率高时风险厌恶情绪越明显。展望未来,我们预计德国政府债券供应仍将匮乏,这将对欧洲央行的货币政策策略产生重要影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
German Bond Yields and Debt Supply: Is There a 'Bund Premium'?
Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.
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