| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13345 |
| DP13345 Over-the-Counter Market Frictions and Yield Spread Changes | |
| Nils Friewald; Florian Nagler | |
| 发表日期 | 2018-11-30 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We empirically study whether systematic over-the-counter (OTC) market frictions affect the large unexplained common factor in yield spread changes. Using transactions data on U.S. corporate bonds, we show that measures of marketwide inventory, search, and bargaining frictions reduce the unexplained common component by 19 percentage points. Systematic OTC frictions substantially improve the explanatory power of yield spread changes and account for one-third of their total explained variation. Inventory frictions are equally important in explaining the dynamics of yield spread changes as search and bargaining frictions combined. Our findings support the implications of leading theories of intermediation frictions in OTC markets. |
| 主题 | Financial Economics |
| 关键词 | Corporate bond market Over-the-counter market Yield spread changes Intermediation frictions Dealer market |
| URL | https://cepr.org/publications/dp13345 |
| 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/542157 |
| 推荐引用方式 GB/T 7714 | Nils Friewald,Florian Nagler. DP13345 Over-the-Counter Market Frictions and Yield Spread Changes. 2018. |
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