Benchmark Status in Fixed-Income Asset Markets
Benchmark Status in Fixed-Income Asset Markets
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DOI：
10.1111/j.1468-5957.2007.02039.x
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发表时间：
2007-12
期刊：
影响因子：
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通讯作者：
Peter G. Dunne;Michael J. Moore;R. Portes
中科院分区：
文献类型：
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作者：
Peter G. Dunne;Michael J. Moore;R. Portes
什么是基准债券？我们对这一概念提供了正式的理论处理，将内生确定的基准状态与价格发现联系起来，并得出其含义。我们描述了一种计量经济学技术，用于确定与我们的理论框架一致的基准。我们将其应用于美国公司债券市场以及欧洲主权债券市场基准地位受到争议时发生的自然实验。我们表明，法国提供了以欧元计价的主权债券市场的大多数期限的基准，而 IBM 则提供了美国公司债券市场的基准。
What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.