Arbeitspapier
Time-varying credit risk and liquidity premia in bond and CDS markets
We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity. CDS liquidity has important consequences for the bond credit risk and liquidity components. Besides the credit risk link, we document a liquidity link between the bond and the CDS market. Liquidity in both markets dries up as credit risk increases, and higher bond market liquidity leads to lower CDS market liquidity. Ignoring CDS liquidity results in partly negative liquidity premia, particularly when CDS liquidity is low.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFR working paper ; No. 09-13
- Classification
-
Wirtschaft
- Subject
-
Anleihe
Credit Default Swap
Kreditrisiko
Marktliquidität
Rentenmarkt
Dekompositionsverfahren
- Event
-
Geistige Schöpfung
- (who)
-
Bühler, Wolfgang
Trapp, Monika
- Event
-
Veröffentlichung
- (who)
-
University of Cologne, Centre for Financial Research (CFR)
- (where)
-
Cologne
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bühler, Wolfgang
- Trapp, Monika
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2009
Other Objects (12)
Macroeconomic implications of time-varying risk premia
Jump risk, time-varying risk premia, and technical trading profits
Bond liquidity premia
Liquidity premia and interest rate parity
Time-varying crash risk: The role of stock market liquidity
Profitability and the Time-Varying Liquidity Premium in the Term Structure of Interest Rates
Liquidity, inflation and asset prices in a time-varying framework for the euro area
Collateral framework: liquidity premia and multiple equilibria
Monetary policy, interest rates, and liquidity premia
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks
Macroeconomic implications of time-varying risk premia
Jump risk, time-varying risk premia, and technical trading profits
Bond liquidity premia
Liquidity premia and interest rate parity
Time-varying crash risk: The role of stock market liquidity
Profitability and the Time-Varying Liquidity Premium in the Term Structure of Interest Rates
Liquidity, inflation and asset prices in a time-varying framework for the euro area
Collateral framework: liquidity premia and multiple equilibria
Monetary policy, interest rates, and liquidity premia
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks
Macroeconomic implications of time-varying risk premia
Jump risk, time-varying risk premia, and technical trading profits
Bond liquidity premia
Liquidity premia and interest rate parity
Time-varying crash risk: The role of stock market liquidity
Profitability and the Time-Varying Liquidity Premium in the Term Structure of Interest Rates
Liquidity, inflation and asset prices in a time-varying framework for the euro area
Collateral framework: liquidity premia and multiple equilibria
Monetary policy, interest rates, and liquidity premia
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria