| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12376 |
| 来源ID | Working Paper 12376 |
| Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market | |
| Alessandro Beber; Michael W. Brandt; Kenneth A. Kavajecz | |
| 发表日期 | 2006-07-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by liquidity. We conclude that credit quality matters for bond valuation but that, in times of market stress, investors chase liquidity, not credit quality. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12376 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570033 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael W. Brandt,Kenneth A. Kavajecz. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12376.pdf（701KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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