本文是一篇金融学留学论文代写：债券市场流动性的期限结构。我们所研究的是对于不同期限较长时间的样本,联合时序的非流动性不足.也对时间序列因素的新发行国债与国债的非流动性进行了比较.
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先前国债市场非流动性跨度短时间的研究只专注于特定的期限。相比之下,我们所研究的是对于不同期限较长时间的样本,联合时序的非流动性不足。我们也对时间序列因素的新发行国债与国债的非流动性进行了比较。非流动性的增加与在衰退期间长期和短期债券之间的利差差异在显著扩大,“飞行流动性”现象表明在经济收缩期间投资者会转向流动性更强的短期债券。我们阐明了,由于例如通货膨胀等宏观经济变量和联邦基金利率预测国债流动性不足但只有对新发行国债的非流动性有着适度的预测能力。所有投资期限下的债券收益率都是根据短期非流动性来预测的，但非根据其他投资期限下的非流动性或者在行债券非流动性（来预测）。因此,短期债券流动性,首先通过股票大盘反映,是在美国国债市场中流动性溢价的主要来源。
我们认为Yakov Amihud,Michael Fleming,Tyler Henry,Paul Irvine,Tao Shu,Chris Stivers,Stijn Van Nieuwerburgh,Ginger Wu参加一个在佐治亚大学的研讨会,在2007年金融经济学会议以及在纽约大学的会计价值评论。
债券市场流动性的期限结构-The Term Structure Of Bond Market Liquidity
Previous studies of Treasury market illiquidity span short time-periods and focus on particular maturities.In contrast,we study the joint time-series of illiquidity for different maturities over an extended time sample.We also compare time series determinants of on-the-run and off-the-run illiquidity.Illiquidity increases and the difference between spreads of long-and short-term bonds significantly widens during recessions,suggesting a“flight to liquidity”phenomenon wherein investors shift into the more liquid short-term bonds during economic contractions.We also document that macroeconomic variables such as inflation and federal fund rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity.Bond returns across all maturities are forecastable by off-the-run short-term illiquidity but not by illiquidity of other maturities or by on-the-run bond illiquidity.Thus,short-term off-the-run liquidity,by reflecting macro shocks first,is the primary source of the liquidity premium in the Treasury bond market.
We thank Yakov Amihud,Michael Fleming,Tyler Henry,Paul Irvine,Tao Shu,Chris Stivers,Stijn Van Nieuwerburgh,Ginger Wu,and participants in a seminar at the University of Georgia,and at the 2007 Conference on Financial Economics and Accounting at New York University for valuable comments.
Ruslan Y.Goyenko,McGill University,1001 Sherbrooke St.West,Montreal,Quebec H3A 1G5.E-mail:ruslan.goyenko mcgill.ca.Avanidhar Subrahmanyam,Goldyne and Irwin Hearsh Chair in Money and Banking,UCLA Anderson School of Management,subra anderson.ucla.edu Andrey D.Ukhov,Kelley School of Business,Indiana University,1309 E.Tenth Street,Bloomington,IN 47405.E-mail:aukhov indiana.edu.
We thank Yakov Amihud,Michael Fleming,Tyler Henry,Paul Irvine,Tao Shu,Chris Stivers,Stijn Van Nieuwerburgh,Ginger Wu,and participants in a seminar at the University of Georgia,and at the 2007 Conference on Financial Economics and Accounting at New York University for valuable comments.
文摘-Abstract
Previous studies of Treasury market illiquidity span short time-periods and focus on particular maturities.In contrast,we study the joint time-series of illiquidity for different maturities over an extended time sample.We also compare time series determinants of on-the-run and off-the-run illiquidity.Illiquidity increases and the difference between spreads of long-and short-term bonds significantly widens during recessions,suggesting a“flight to liquidity”phenomenon wherein investors shift into the more liquid short-term bonds during economic contractions.We also document that macroeconomic variables such as inflation and federal fund rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity.Bond returns across all maturities are forecastable by off-the-run short-term illiquidity but not by illiquidity of other maturities or by on-the-run bond illiquidity.Thus,short-term off-the-run illiquidity,by reflecting macro shocks first,is the primary source of the liquidity premium in the Treasury bond market.
