公司债券流动性的非线性结构估算

IF 1.9 Q2 BUSINESS, FINANCE Review of Quantitative Finance and Accounting Pub Date : 2024-07-30 DOI:10.1007/s11156-024-01323-y

Diego Leal Gonzalez, Bryan Stanhouse, Duane Stock, Xin Yue Zhou

{"title":"公司债券流动性的非线性结构估算","authors":"Diego Leal Gonzalez, Bryan Stanhouse, Duane Stock, Xin Yue Zhou","doi":"10.1007/s11156-024-01323-y","DOIUrl":null,"url":null,"abstract":"<p>We estimate the term structure of corporate bond liquidity premiums using a dual estimation technique. Our estimates reveal that the term structures of the liquidity premiums were positively sloped and concave for each category of creditworthiness and in three economic epochs. As the macroeconomy transitioned from a pre-crisis to a crisis period, liquidity premiums elevated across time to maturity for both investment grade and speculative grade bonds. With the migration of the financial system from stress to relative calm, the premiums on both grades of debt declined for all maturities.</p>","PeriodicalId":47688,"journal":{"name":"Review of Quantitative Finance and Accounting","volume":"265 1","pages":""},"PeriodicalIF":1.9000,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Nonlinear structural estimation of corporate bond liquidity\",\"authors\":\"Diego Leal Gonzalez, Bryan Stanhouse, Duane Stock, Xin Yue Zhou\",\"doi\":\"10.1007/s11156-024-01323-y\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We estimate the term structure of corporate bond liquidity premiums using a dual estimation technique. Our estimates reveal that the term structures of the liquidity premiums were positively sloped and concave for each category of creditworthiness and in three economic epochs. As the macroeconomy transitioned from a pre-crisis to a crisis period, liquidity premiums elevated across time to maturity for both investment grade and speculative grade bonds. With the migration of the financial system from stress to relative calm, the premiums on both grades of debt declined for all maturities.</p>\",\"PeriodicalId\":47688,\"journal\":{\"name\":\"Review of Quantitative Finance and Accounting\",\"volume\":\"265 1\",\"pages\":\"\"},\"PeriodicalIF\":1.9000,\"publicationDate\":\"2024-07-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Quantitative Finance and Accounting\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s11156-024-01323-y\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Quantitative Finance and Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11156-024-01323-y","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们使用双重估算技术估算了公司债券流动性溢价的期限结构。我们的估计结果表明，在三个经济时代，每一类信用度的流动性溢价的期限结构都是正斜凹的。随着宏观经济从危机前过渡到危机时期，投资级和投机级债券的流动性溢价在不同期限内都有所上升。随着金融体系从紧张转为相对平静，所有期限的投资级和投机级债券的溢价都有所下降。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

摘要图片

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Nonlinear structural estimation of corporate bond liquidity

We estimate the term structure of corporate bond liquidity premiums using a dual estimation technique. Our estimates reveal that the term structures of the liquidity premiums were positively sloped and concave for each category of creditworthiness and in three economic epochs. As the macroeconomy transitioned from a pre-crisis to a crisis period, liquidity premiums elevated across time to maturity for both investment grade and speculative grade bonds. With the migration of the financial system from stress to relative calm, the premiums on both grades of debt declined for all maturities.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Review of Quantitative Finance and Accounting BUSINESS, FINANCE-

CiteScore

3.20

自引率

17.60%

发文量

期刊介绍： Review of Quantitative Finance and Accounting deals with research involving the interaction of finance with accounting, economics, and quantitative methods, focused on finance and accounting. The papers published present useful theoretical and methodological results with the support of interesting empirical applications. Purely theoretical and methodological research with the potential for important applications is also published. Besides the traditional high-quality theoretical and empirical research in finance, the journal also publishes papers dealing with interdisciplinary topics.