G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6669
DP6669 Does Competition Reduce the Risk of Bank Failure?
Rafael Repullo; David Martinez-Miera
发表日期2008-01-25
出版年2008
语种英语
摘要The paper explores the determinants of yield differentials between sovereign bonds in the Euro area. There is a common trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials display sizeable heterogeneity and no common factor. We propose a simple model with endogenous liquidity demand, where a bond's liquidity premium depends both on its transaction cost and on investment opportunities. The model predicts that yield differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a subset of countries, and their interaction with the risk factor is in line with the model's prediction and crucial to detect their effect.
主题Financial Economics
关键词Bond yields Euro area Liquidity Risk
URLhttps://cepr.org/publications/dp6669
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535506
推荐引用方式
GB/T 7714
Rafael Repullo,David Martinez-Miera. DP6669 Does Competition Reduce the Risk of Bank Failure?. 2008.
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