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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/45285
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Wagenvoort, Rien | | en_US |
| dc.contributor.author | | Zwart, Sanne | | en_US |
| dc.date.accessioned | | 2011-04-19 | | en_US |
| dc.date.accessioned | | 2011-04-29T08:06:23Z | | - |
| dc.date.available | | 2011-04-29T08:06:23Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/45285 | | - |
| dc.description.abstract | | We introduce Longitudinal Factor Analysis (LFA) to extract the Common Risk Free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis methods that rely on the much smaller cross-sectional dimension. European sovereign bond yields for the period 2006-2010 are decomposed into a CRF rate, a default risk premium, and a liquidity risk premium, shedding new light on issues such as benchmark status, flight-to-quality and flight-to-liquidity hypotheses. Our empirical findings suggest that investors chase both credit quality and liquidity, and that liquidity is more valued when aggregate risk is high. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | European Investment Bank Luxembourg | | en_US |
| dc.relation.ispartofseries | | Economic and financial reports / European Investment Bank 2010/05 | | en_US |
| dc.subject.jel | | C19 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | factor analysis | | en_US |
| dc.subject.keyword | | risk free interest rate | | en_US |
| dc.subject.keyword | | sovereign bond | | en_US |
| dc.subject.keyword | | benchmark | | en_US |
| dc.title | | Uncovering the common risk free rate in the European Monetary Union | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 656656735 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Economic and Financial Reports, European Investment Bank
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