{"title":"信用质量价差、债券市场效率和金融脆弱性","authors":"E. Davis","doi":"10.1111/J.1467-9957.1992.TB01459.X","DOIUrl":null,"url":null,"abstract":"The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such a relationship may be distorted by variations in market segmentation or liquidity. The econometric results show a deterioration in U.K. market performance over time, which may be related to changes in liquidity and market segmentation. These imply that spreads may not be a useful monetary indicator and that risk may be inaccurately priced in the U.K. domestic bond markets. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"144 1","pages":"21-46"},"PeriodicalIF":0.0000,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Credit Quality Spreads, Bond Market Efficiency and Financial Fragility\",\"authors\":\"E. Davis\",\"doi\":\"10.1111/J.1467-9957.1992.TB01459.X\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such a relationship may be distorted by variations in market segmentation or liquidity. The econometric results show a deterioration in U.K. market performance over time, which may be related to changes in liquidity and market segmentation. These imply that spreads may not be a useful monetary indicator and that risk may be inaccurately priced in the U.K. domestic bond markets. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester\",\"PeriodicalId\":83172,\"journal\":{\"name\":\"The Manchester school of economic and social studies\",\"volume\":\"144 1\",\"pages\":\"21-46\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-09-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Manchester school of economic and social studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/J.1467-9957.1992.TB01459.X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Manchester school of economic and social studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/J.1467-9957.1992.TB01459.X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Credit Quality Spreads, Bond Market Efficiency and Financial Fragility
The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such a relationship may be distorted by variations in market segmentation or liquidity. The econometric results show a deterioration in U.K. market performance over time, which may be related to changes in liquidity and market segmentation. These imply that spreads may not be a useful monetary indicator and that risk may be inaccurately priced in the U.K. domestic bond markets. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester
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