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https://hdl.handle.net/10419/45285
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Wagenvoort, Rien | en |
dc.contributor.author | Zwart, Sanne | en |
dc.date.accessioned | 2011-04-19 | - |
dc.date.accessioned | 2011-04-29T08:06:23Z | - |
dc.date.available | 2011-04-29T08:06:23Z | - |
dc.date.issued | 2010 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aEuropean Investment Bank (EIB) |cLuxembourg | en |
dc.relation.ispartofseries | |aEconomic and Financial Report |x2010/05 | en |
dc.subject.jel | C19 | en |
dc.subject.jel | E43 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | factor analysis | en |
dc.subject.keyword | risk free interest rate | en |
dc.subject.keyword | sovereign bond | en |
dc.subject.keyword | benchmark | en |
dc.title | Uncovering the common risk free rate in the European Monetary Union | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 656656735 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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