Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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DOI：
10.2139/ssrn.891736
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发表时间：
2006-06
期刊：
影响因子：
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通讯作者：
Alessandro Beber;Michael W. Brandt;Kenneth A. Kavajecz
中科院分区：
文献类型：
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作者：
Alessandro Beber;Michael W. Brandt;Kenneth A. Kavajecz
债券投资者要求的是信贷质量还是流动性？答案是两者都有，但时间和原因不同。使用欧元区政府债券市场的数据，其特征是各国信贷质量和流动性之间存在独特的负相关关系，我们表明，尽管流动性起着重要作用，但大部分主权收益率息差可以用信贷质量的差异来解释，特别是对于低信用风险国家和市场不确定性加剧的时期。相比之下，流入债券市场的大笔资金的目的地几乎完全取决于流动性。我们得出的结论是，信贷质量对债券估值很重要，但在市场承压时期，投资者追求的是流动性，而不是信贷质量。
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 nontrivial 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.