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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP6669 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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