The Relation Between Treasury Yields and Corporate Bond Yield Spreads

Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment-grade corporate bonds. Although yield spreads on both callable and noncallable corporate bonds fall when Treasury yields rise, this relation is much stronger for callable bonds. This result has important implications for interpreting the behavior of yields on commonly used corporate bond indexes, which are composed primarily of callable bonds.     

Corporate Yield Spreads and Bond Liquidity

We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4,000 corporate bonds and spanning both investment grade and speculative categories, we find that more illiquid bonds earn higher yield spreads, and an improvement in liquidity causes a significant reduction in yield spreads. These results hold after controlling for common bond‐specific, firm‐specific, and macroeconomic variables, and are robust to issuers' fixed effect and potential endogeneity bias. Our findings justify the concern in the default risk literature that neither the level nor the dynamic of yield spreads can be fully explained by default risk determinants.     

国债收益率对信贷市场均衡的影响

国债市场规模的扩大可以满足机构投资者的收益性和流动性偏好,机构投资者投资组合的调整使得国债具有影响信贷市场均衡的功效:国债收益率变化影响信贷市场利率和信贷市场均衡规模。实证研究表明,在协整关系上国债收益率和信贷资金增长率具有负相关关系,表明国债收益率上升对信贷资金增长率具有降低作用,不过效果不明显,不足以成为影响信贷市场资金规模的原因。国债收益率和信贷资金增长率不互为因果关系,这与中国国债规模偏小、持有者结构不合理和交易所国债市场逐渐边缘化的趋向有关。     

Reaching for Yield in the Bond Market

This paper studies reaching for yield—investors’ propensity to buy riskier assets to achieve higher yields—in the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the business cycle being most pronounced during economic expansions. It is also characteristic of firms with poor corporate governance and for which the regulatory capital requirement is more binding.     

Historic Changes in the High Yield Bond Market

In a history that now stretches about four decades, the high yield (HY) market has experienced growth in issuance and out‐standings that is remarkable both for its level (about 13% per annum, with HY bonds now accounting for about 25% of the total corporate bond market) and its cyclicality and sensitivity to the broad economy. The HY market has also experienced a notable shift away from B‐rated bonds and toward both lower‐risk Ba‐rated bonds and, to a lesser extent, more risky Caa‐rated bonds. Consistent with this development, studies of the performance of HY bonds show Ba‐rated bonds experiencing not only lower risk, but also higher returns than Caa‐rated bonds, which have produced surprisingly low average returns along with exceptionally high volatility. At the same time, studies of the correlation of HY bond returns with returns on other major asset classes report that all classes of HY bonds (but particularly the riskier B‐ and Caa‐rated bonds) have consistently stronger relationships with common stocks (especially small‐cap stocks) than with Treasuries and investment‐grade bonds. Analysis of the volatility of HY bond returns over time shows that during periods of stability in the economy and financial markets, the volatility of HY bond returns has been very similar to that of investment‐grade bonds. But during periods of political or economic uncertainty, the volatility of HY bonds has become two or three times that of investment‐grade bonds, approaching the volatility of common stocks. The main driver of the significant increase in the risk of the aggregate HY bond market during periods of uncertainty has been Caa‐rated bonds, whose risk pattern has been remarkably similar to that of small‐cap common stocks. Analysis of the credit risk spread (or CRS) series for both the composite HY bond market and each of its rating categories shows markedly non‐normal distributions with significant positive “skewness”—that is, periods of exceptionally high spreads (that are not counterbalanced by periods of exceptionally low spreads). The authors also report a consistently strong relationship of the CRS series with default rates and the general state of the economy, with major peaks occurring during or shortly after economic recessions. Near the end of 2008, however, there was a clear break in this relationship when the CRS reached an historic peak of 2,000 basis points, or more than five standard deviations above its long‐term mean, while the default rate (at 4%) was below its long‐term average. The authors offer two explanations for this break in CRS‐default rate relationship: the jump in the CRS caused by the extreme flight to quality and drop in liquidity for all risky securities during the second half of 2008; and the use of covenant‐lite securities and other sources of financial flexibility that appear to have enabled many HY issuers to defer defaults (if not avoid them entirely).     

发展国债期货市场 健全国债收益率曲线

自1981年恢复发行国债以来,我国的国债市场取得了健康快速的发展,国债的存量规模、年度新增量以及付息规模均有大幅增长。随着建设反映市场价格水平的国债收益率曲线的重要性逐渐提高,为了更好地促进金融市场深入发展、提高宏观调控效率、管理市场预期,我国需要构建一条完善的国债收益率曲线。本文首先对我国国债市场的发展现状和国债收益率曲线建设情况进行了分析,探讨了国债期货市场发挥的重要功能,为更好地发展国债期货市场和健全国债收益率曲线提出了若干政策建议。     

An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

This paper compares the pricing of credit risk in the bond market and the fast-growing credit default swap (CDS) market. The cointegration test confirms that the theoretical parity relationship between the two credit spreads holds as a long-run equilibrium condition. Nevertheless, substantial deviation from the parity can arise in the short run. The panel data study and the VECM analysis both suggest that the deviation is largely due to the higher responsiveness of CDS premia to changes in credit conditions. Moreover, it exhibits a certain degree of persistence in that only 10% of price discrepancies can be removed within a business day.     

我国高收益债市场发展分析

文章回顾了我国高收益债(二级收益率超过9%)市场发展历程与阶段特征,指出规范高收益债交易和处置,提升高收益债券的流动性,是当前亟待解决的问题。近年来,相关基础设施加快出台制度,不断完善高收益债交易方式,但总体看,市场发展水平较发达国家仍有较大差距,文章借鉴国际经验提出我国高收益债券市场相关建议。     

A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination

Stock market valuation and Treasury yield determination are consistent with the Fisher effect (1896) as generalized by Darby (1975) and Feldstein (1976) . The U.S. stock market (S&P 500) is priced to yield ex-ante a real after-tax return directly related to real long-term GDP/capita growth (the required yield ). Elements of our theory show that: (1) real after-tax Treasury and S&P 500 forward earnings yields are stationary processes around positive means; (2) the stock market is indeed priced as the present value of expected dividends with the proviso that investors are expecting fast mean reversion of the S&P 500 nominal growth opportunities to zero. Moreover, (3) the equity premium is mostly due to business cycle risk and is a direct function of below trend expected productivity, where productivity is measured by the growth in book value of S&P 500 equity per-share. Inflation and fear-based risk premia only have a secondary impact on the premium. The premium is always positive or zero with respect to long-term Treasuries. It may be negative for short-term Treasuries when short-term productivity outpaces medium and long run trends. Consequently: (4) Treasury yields are mostly determined in reference to the required yield and the business cycle risk premium; (5) the yield spread is largely explained by the differential of long-term book value per share growth vs. near term growth, with possible yield curve inversions. Finally, (6) the Fed model is partially validated since both the S&P 500 forward earnings yield and the ten-year Treasury yield are determined by a common factor: the required yield.     

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond‐specific illiquidity as well as to macroeconomic measures of bond market liquidity.     

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market

The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p .m . when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p .m . and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p .m ., the short has the option of settling the contract at a favorable 2:00 p .m . price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.     

中国债市三十年回顾

中国债券市场开始于1981年国债的恢复发行,历经近三十年的改革与发展至今,中国债券市场体系已经相对完整.债券品种日益丰富齐全,市场规模不断扩大,同时债券市场的问题也逐渐显现.回顾中国债券市场的改革与发展历程,有助于我们更好地了解中国债券市场的症结所在,促进中国债券市场更稳健地发展.     

Default Risk in Corporate Yield Spreads

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in light of the different issues associated with the computation of default probabilities obtained from historical default data. We find that the estimated default risk proportion in corporate yield spreads is sensitive to the ex ante estimated term structure of default probabilities used as inputs. This proportion can become a large fraction of the spread when sensitivity analyses are made with respect to the period over which the probabilities are estimated and the recovery rates.     

短期融资券市场效率研究——基于价差分解的视角

在完全有效市场条件下,信用风险是反映信用类债券特征的最基本信息,也是决定价差的关键因素。本文通过对中国信用类债券中短期融资券的价差分解发现,虽然信用风险显著影响短期融资券定价,但市场风险才是影响其价差的最主要因素。此外,市场流动性不足降低了市场运行效率,导致流动性溢价总体为负。上述研究结果表明我国短期融资券市场化的定价机制虽已初步形成,但市场效率总体仍然偏低。     

中国国债利率期限结构模型研究与实证分析

本文在概述国债利率期限结构模型的基础上,针对当前被发达国家广泛采用的NS和SV模型所存在的不足,通过扩展指数多项式的方法,构建出NSM模型。为了更好地估算利率期限结构模型中的参数,本研究针对目标函数优化求解,经分析比较多种优化算法后,确定选用GRG2非线性最优化算法。通过使用上海证券交易所2005.1.4～2007.11.30的国债每日交易数据对NS、SV、NSM三个模型的实证分析比较,表明NSM模型不仅保留了NS模型的经济含义,克服了SV模型参数估计依赖初值的缺点,能够反映出利率曲线多峰的情况;而且其在拟合精度、价格误差等多项指标上均优于NS模型和SV模型,并具有良好的适应性和稳健性,能够满足我国当前的国债市场需要。     

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

This paper analyzes how exchange rate policy affects the issuance and pricing of sovereign bonds for developing countries. We find that countries with less flexible exchange rate regimes pay higher spreads and are less likely to issue bonds. Changing a free‐floating regime to a fixed regime decreases the likelihood of bond issuance by 5.5% and increases the spread by 88 basis points on average. Countries with real overvaluation have higher spreads and higher bond issuance probabilities. The effects of real overvaluation on sovereign bonds tend to be magnified for countries with fixed exchange rate regimes.     

The Determinants of the Treasury Security Yield Curve

Investors' security demands and two points on the yield curve are jointly determined using a disaggregated structural model of the U.S. Treasury securities market. The empirical results indicate that the structural model is capable of accurately explaining Treasury yields and that changes in a variety of nonyield variables affect the yield curve. Among these nonyield variables are Treasury security supplies, which are found to have significant but somewhat volatile impacts depending on investors' wealth flows. The within-sample predictions from the structural model are also compared to those of a naive model.     

美国高收益债券市场的发展及启示

高收益债券是信用等级低于投资级别的债券,因此又被称为垃圾债券或投机级债券。该类债券的发行人通常是那些高速发展但缺乏现金流的成长企业、高负债的企业或是进行杠杆收购的投     

中国债券收益率曲线对经济增长的预测能力分析

债券收益率会影响投资行为并进一步作用于一国的经济增长水平。本文在分析我国固定资产投资资金来源的基础上,探讨其与债券收益率曲线的关系,并通过实证方法研究了我国债券的收益率曲线对经济增长的预测能力。研究发现,我国债券的收益率曲线对名义经济增长率具有显著的预测能力,但对实际经济增长率的预测能力有限。本文指出,银行信贷在我国经济增长中的核心作用以及信贷利率的外生性是造成上述现象的根本原因。