Benchmark status in fixed-income asset markets
Résumé
What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Benchmark status in fixed-income asset markets
|
Résumé |
en
What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.
|
Auteur(s) |
Peter G. Dunne
1
, michaël J. Moore
1
, Richard Portes
2, 3, 4, 5
1
Queen's University
( 215931 )
- Canada
2
PJSE -
Paris-Jourdan Sciences Economiques
( 1312 )
- 48 boulevard Jourdan 75014 Paris
- France
3
London Business School
( 154111 )
- Royaume-Uni
4
CEPR -
Center for Economic Policy Research
( 143559 )
- Royaume-Uni
5
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Nom de la revue |
|
Audience |
Non spécifiée
|
Date de publication |
2007-07
|
Volume |
34
|
Numéro |
9-10
|
Page/Identifiant |
1615-1634
|
Domaine(s) |
|
Mots-clés |
en
Price discovery, Benchmark, Bond market, Cointegration
|
DOI | 10.1111/j.1468-5957.2007.02039.x |
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