Discount curve construction with tension splines

Polynomial splines are popular in the estimation of discount bond term structures, but suffer from well-documented problems with spurious inflection points, excessive convexity, and lack of locality in the effects of input price perturbations. In this paper, we address these issues through the use of shape-preserving splines from the class of generalized tension splines. Our primary focus is on the classical hyperbolic tension spline which we derive non-parametrically from a penalized least squares criterion, but extensions to generalized tension splines—such as rational splines and exponential splines—are also covered. Our methodology allows both for best-fitting of noisy bonds and for the construction of an exact interpolatory term structure to a set of liquid instruments. We work with a local tension B-spline basis and support both fully non-parametric and user-imposed knot location strategies.     

论我国企业债券市场的有效监管

企业债券市场的有效监管，是企业债券市场健康发展的重要保证。因此，在改革监管制度中，首先要重塑监管理念，把对企业债券市场的监管从原来的重融资向保护投资者利益转变，促进政府监管走向市场化、法冶化。政府监管的市场化和法治化，是相辅相成的，是监管的放松与加强并举，提高监管效率的重要举措，是政府监管随着经济的发展，为了企业债券市场的健康发展，对原有监管侧重点的改进；其次，要协调配合政府监管有形的手和市场监管无形的手，具体改进政府监管主体和非政府监管主体（社会中介机构和自律组织）对企业债券市场的监管方式。     

从国债价格和收益率的关系谈我国国债市场的发展

随着我国加入WTO，金融市场的发展和利率市场化改革问题日益引起大家的关注。从国外经验来看，国债价格机制市场化改革往往走在整个金融市场改革的前沿。笔从利用有关国债价格决定和变动理论对我国国债价格及收益率之间的关系进行了验证。并针对国债发行和流通市场上存在的有关问题，提出了促进国债价格机制市场化和促进国债市场发展的政策建议。     

International bonds and the currency risk: How do macroshocks affect returns?

The currency translation risk borne by international investors and the riskiness of returns on long-term bonds both affect international investors' decisions. For the U.S. investor, excess returns on German, Japanese, Canadian, and U.K. bonds have been positively correlated with the respective excess local currency returns (1978–1997). However, for investors who measure their performance in the currencies of these countries, the comparable correlation between U.S. bond returns and positions in U.S. dollars has been negative. Traditional interest rate or portfolio flow models fail to explain the asymmetry. A sticky-price model with spillover effects from the U.S. to other countries is used to explore the effect of macroshocks on these returns.     

美元和日元外国债券市场与离岸债券市场比较研究

债券市场对外开放，对于促进人民币跨境使用具有重要意义。文章通过对美元和日元外国债券市场和离岸债券市场的比较研究，发现由于管制落差的存在，离岸债券市场发展明显快于外国债券市场，同时，离岸债券市场发展对在岸的外国债券市场发展具有明显的促进作用。文章指出，应通过减少对在岸外国债券市场的管制、有效利用香港等离岸人民币债券市场的创新优势等手段，进一步促进我国债券市场的对外开放效率和健康发展。     

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between external shocks affecting firms together are considered. The presence of correlations among firm leverage ratios and the interrelation between default probabilities and recovery rates produces clusters of defaults with low recovery rates. This has a major impact on standard risk measures such as Value-at-Risk and conditional tail expectation. Consequently, an appropriate measurement of the contagion has a tremendous effect on the capital requirement of many financial institutions.     

Time varying contagion in EMU government bond spreads

We analyze the time varying behavior of pure contagion effects between Economic and Monetary Union (EMU) government bond spreads before and during the subprime mortgage crisis and the EMU debt crisis. By conducting a rolling window analysis, we are able to monitor the evolution of pure contagion effects and the changing influence of exogenous factors over time. Importantly, this is done without an ex-ante specification of the contagion window. Hence, we are able to determine the exact timing of the start and end for the different contagion periods. In contrast to related studies, we use a slightly different definition of contagious events and show that this approach leads to different conclusions about the progression of the EMU debt crisis. First, the main sources of pure contagion in the later phase of the EMU debt crisis appear to be Italy and Spain and not Greece, Ireland and Portugal. Furthermore, we find that substantial contagion effects among EMU government bond spreads (caused by Ireland and Portugal) already arise during the subprime mortgage crisis and not only during the EMU debt crisis, as one might expect.     

Bond yields and debt supply: new evidence through the lens of a preferred-habitat model

This paper examines the responsiveness of bond yields to changes in debt supply. The preferred-habitat theory predicts a positive relation between the term spread and relative supply of longer term debt, and that this relation is stronger when risk aversion is high. To capture this effect, a time-varying coefficient model is introduced and applied to German bond data. The results support the theoretical predictions and indicate substantial time variation: under high risk aversion, yield spreads react about three times more strongly than when risk aversion is low. The accumulated response of term spreads to a one standard deviation change in debt supply ranges between 4 and 46 basis points.     

The effect of social screening on bond mutual fund performance

This study measures the financial impact of screening for environmental, social and governance criteria on corporate bond portfolios. Specifically, the risk-adjusted financial performance of 103 socially responsible bond funds in the US and the Eurozone is compared with a matched sample of conventional funds. During the period 2001–2014, socially responsible bond funds outperform by one-half of one percent annually. An evaluation of fund holdings and a performance-attribution analysis suggest that this outperformance is directly related to the mitigation of ESG risks, which is achieved by the exclusion of corporate bond issuers with poor corporate social responsibility activities. A separation of crisis and non-crisis periods further indicates that the outperformance is especially likely to occur during recessions or bear market periods. We confirm this crisis-related return effect from a sample of socially screened bond indices. Moreover, our results are robust to alternative definitions of sustainability, survivorship bias, fund characteristics and stable in the US and Eurozone sub-samples.     

商业化背景下开行债券发行成本问题研究

商业化转型将大幅度提高国开行债券融资成本。债券融资成本的提高是否超出了国开行的容忍度,直接关系到国开行转型能否成功,以及转型后的类型,战略发展方向等一系列问题。本文采用价值补偿的方法测度了失去国家信用后开行债券的发行成本,然后以盈亏临界点为目标测度了开行债券发行成本的生存容忍度,以银行业平均资产收益率为目标测度了开行债券发行成本的发展容忍度。三者比较的结果显示,失去国家信用后,开行债券发行成本的提高不会对国开行的生存产生重大影响,但对其发展会构成严重威胁。