Bond Liquidity Premia

• 成果类型: Article
• 署名作者: Fontaine, Jean-Sebastien; Garcia, Rene
• 署名单位: Bank of Canada; Universite Catholique de Lille; EDHEC Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr132
• 发表日期: 2012
• 页码: 1207
• 关键词: term structure; Yield spreads; RISK; INFORMATION; maturity; default; LIMITS; rates; tax

摘要

Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing implications, we find that increases in funding liquidity predict lower risk premia for all Treasury securities but higher risk premia on LIBOR loans, swap contracts, and corporate bonds. The impact of funding conditions on interest rates is large and pervasive throughout crises and normal times. (JEL E43, H12)