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首页> 外文期刊>The North American journal of economics and finance >Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads

机译：分解当地货币主权债券收益率和主权信用违约交换差价的分解

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摘要

In this study, we analyze the relationship between the term structures of local currency-denominated sovereign bond yields and foreign currency-denominated sovereign credit default swap (CDS) spreads for developed countries. We develop a consistent pricing model between the term structures of local currency-denominated sovereign bond yields and foreign currency-denominated sovereign CDS spreads, which allows us to decompose these term structures into credit risk and non-credit risk (e.g., convenience yield or liquidity risk). In the euro area countries, we show that the credit risk components are mainly related to local equity markets or the proxy of the regulatory incentive of the global dealer banks. In the core countries of the euro area, the non-credit risk component of the bond spread is related to the proxy of the flight to liquidity at all maturities, and function as convenience yield. During the sovereign debt crisis in the developed European market, in the peripheral countries of the euro area, the non-credit risk component of the bond spread is related to the liquidity risk. At the short end of the term structure, this relation is stronger than that at longer maturity. On the other hand, the relationships between the non-credit risk components of CDS spreads and risk factors are weak and the fluctuations of the CDS spread is mainly driven by the credit risk components in both country groups.
机译：在这项研究中，我们分析了发达国家的当地货币计价债权债券收益率和外币计价的主权信贷违约交换（CDS）差价之间的关系。我们在局部货币计价的主权债券收益率和外币计价的主权CDS传播中发展一致的定价模式，这使我们能够将这些术语结构分解为信用风险和非信用风险（例如，便利率或流动性风险）。在欧元区国家，我们表明信用风险成分主要与当地股票市场或全球经销商银行的监管机构有关。在欧元区的核心国家，债券传播的非信贷风险成分与在所有内部发生的流动性的飞行代理有关，以及以便利率的作用。在发达国家债务危机期间，在发达国家市场，在欧元区的周边国家，债券传播的非信贷风险成分与流动性风险有关。在术语结构的短期下，这种关系比在更长的时间内更强大。另一方面，CDS扩散和危险因素的非信用风险组成部分之间的关​​系薄弱，CDS扩散的波动主要受到两个国家集团中的信用风险组成部分驱动的。

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