La lecture en ligne est gratuite
Le téléchargement nécessite un accès à la bibliothèque YouScribe
Tout savoir sur nos offres
Télécharger Lire

Liquidity and credit risk in fixed income markets [Elektronische Ressource] / Volker Vonhoff

151 pages
Liquidity and Credit Riskin Fixed Income MarketsInauguraldissertation zur Erlangung des akademischen Gradeseines Doktors der Wirtschaftswissenschaftender Universit at MannheimVolker Vonho vorgelegt im Herbstsemester 2010Dekan: Dr. Jurgen M. SchneiderReferent: Prof. Dr. Dr. h.c. Wolfgang BuhlerKorreferent: Prof. Dr. Erik TheissenTag der mundlic hen Prufung: 24. Januar 2011AcknowledgementsThis dissertation grew out of my work as a research and teaching assistant at the Chairof Finance at the University of Mannheim. It was accepted as a dissertation by theBusiness School of the University of Mannheim in January 2011.This project would not have been possible without the support and help of many.First, I am greatly indebted to my advisor Prof. Dr. Dr. h.c. Wolfgang Buhler foro ering me the possibility to work under his guidance and for his continuing support.His critical advice and encouraging discussions did not only considerably contribute tothis dissertation, but were also an important source of motivation. I would also like toexpress my gratitude to Prof. Dr. Erik Theissen for supporting my academic work aswell as for co-refereeing this dissertation.An essential factor for my work was the challenging and encouraging environmentat the Chair of Finance. Many thanks go to my current and former colleagues, namelyProf. Dr. Christian Andres, Prof. Dr. Andre Betzer, Inga van den Bongard, MarkusDoumet, Erik Fernau, Dr. Sebastian Herzog, Dr.
Voir plus Voir moins

Liquidity and Credit Risk
in Fixed Income Markets
Inauguraldissertation zur Erlangung des akademischen Grades
eines Doktors der Wirtschaftswissenschaften
der Universit at Mannheim
Volker Vonho
vorgelegt im Herbstsemester 2010Dekan: Dr. Jurgen M. Schneider
Referent: Prof. Dr. Dr. h.c. Wolfgang Buhler
Korreferent: Prof. Dr. Erik Theissen
Tag der mundlic hen Prufung: 24. Januar 2011Acknowledgements
This dissertation grew out of my work as a research and teaching assistant at the Chair
of Finance at the University of Mannheim. It was accepted as a dissertation by the
Business School of the University of Mannheim in January 2011.
This project would not have been possible without the support and help of many.
First, I am greatly indebted to my advisor Prof. Dr. Dr. h.c. Wolfgang Buhler for
o ering me the possibility to work under his guidance and for his continuing support.
His critical advice and encouraging discussions did not only considerably contribute to
this dissertation, but were also an important source of motivation. I would also like to
express my gratitude to Prof. Dr. Erik Theissen for supporting my academic work as
well as for co-refereeing this dissertation.
An essential factor for my work was the challenging and encouraging environment
at the Chair of Finance. Many thanks go to my current and former colleagues, namely
Prof. Dr. Christian Andres, Prof. Dr. Andre Betzer, Inga van den Bongard, Markus
Doumet, Erik Fernau, Dr. Sebastian Herzog, Dr. Christoph Heumann, Dr. Maria Kasch,
Prof. Dr. Christian Koziol, Dr. Raphael Paschke, Dr. Marcel Prokopczuk, Christian
Speck, Dr. Volker Sygusch, Prof. Dr. Monika Trapp, Dr. Mark Van Achter, and Dr.
Christian Westheide. I also thank our secretary Marion Baierlein for her assistance.
Special thanks go to Jan Siewert who co-authored one study in this dissertation
(Chapter 4), and to Severin Schmidt for his input to the study in Chapter 2.
Furthermore, I thank my graduate school classmates, namely J orn van Halteren,
Dr. Tabea Bucher-Koenen, Dr. Johannes Koenen, and Christina Kolerus, for their
support and for fruitful discussions, not only during our weekly lunch.
Most of all, I would like to thank my family for their unfailing support and love. My
parents Doris and Gun ter supported me on every educational step with their unlimited
encouragement. My wonderful wife Christina has been a constant source of lovingt and she was by my side whenever I needed her. Her understanding and
support, in particular during the last couple of months, have been exceptional.
Mannheim, January 2011 Volker Vonho
iiiivContents
List of Figures vii
List of Tables x
1 Introduction 1
1.1 Objectives and Purpose . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Concepts of Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 Contribution and Organization . . . . . . . . . . . . . . . . . . . . . . 5
2 The Term Structure of Liquidity Premia in the U.S. Treasury Market 9
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 Design of the Study . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.2.1 Institutional Details . . . . . . . . . . . . . . . . . . . . . . . . 14
2.2.2 Potential E ects on Observed and Synthetic Yields . . . . . . . 16
2.2.3 Empirical Design . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.3.1 Coupon STRIPS Yields vs. Synthetic Yields . . . . . . . . . . . 26
2.3.2 Principal STRIPS Yields vs. Synthetic Yields . . . . . . . . . . 33
2.3.3 Coupon STRIPS vs. Principal STRIPS . . . . . . . . . . . . . . 37
2.3.4 Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2.3.5 Notes vs. Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
2.4 Summary and Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . 47
A Appendix to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
vvi
3 Liquidity Premia in the Market for German Bunds and STRIPS 55
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
3.2 Design of the Study . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3.2.1 Institutional Details . . . . . . . . . . . . . . . . . . . . . . . . 58
3.2.2 Potential E ects on Observed and Synthetic Yields . . . . . . . 60
3.2.3 Empirical Design . . . . . . . . . . . . . . . . . . . . . . . . . . 63
3.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.3.1 Coupon STRIPS Yields vs. Synthetic Yields . . . . . . . . . . . 67
3.3.2 Principal STRIPS Yields vs. Synthetic Yields . . . . . . . . . . 73
3.3.3 Coupon STRIPS vs. Principal STRIPS . . . . . . . . . . . . . . 77
3.4 Summary and Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . 80
B Appendix to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
4 Liquidity and Credit Risk Premia in the Pfandbrief Market 87
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.2 Details of the Pfandbrief Market . . . . . . . . . . . . . . . . . . . . . . 91
4.3 Data and Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
4.3.1 Bond Prices and Yield Spreads . . . . . . . . . . . . . . . . . . 94
4.3.2 Explanatory Variables . . . . . . . . . . . . . . . . . . . . . . . 97
4.3.3 Cover Pool Information According tox 28 Pfandbrief Act . . . . . 100
4.4 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
4.4.1 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . 109
4.4.2 Analysis of Pfandbrief Spreads . . . . . . . . . . . . . . . . . . . 113
4.4.3 Detailed Analysis Using Cover Pool Data . . . . . . . . . . . . . 119
4.5 Summary and Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . 126
C Appendix to Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
Bibliography 132
Curriculum Vitae 141List of Figures
2.1 Maximum Maturity for Synthetic Yields of U.S. Treasury Notes . . . . 22
2.2 Coupon STRIPS Yields { Synthetic Yields (Maturity Bins) . . . . . . . 26
2.3 Time Series of Coupon STRIPS Yields { Synthetic Yields . . . . . . . . 29
2.4 Principal STRIPS Yields { Synthetic Yields (Maturity Bins) . . . . . . 35
2.5 Coupon STRIPS Yields { Principal STRIPS Yields (Maturity Bins) . . 38
2.6 Coupon STRIPS Yields { Synthetic Yields during the Financial Crisis
(Maturity Bins) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
A.1 Principal STRIPS Yields { Synthetic Yields during the Financial Crisis
(Maturity Bins) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
A.2 Coupon STRIPS Yields { Principal STRIPS Yields during the Financial
Crisis (Maturity Bins) . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.1 Coupon STRIPS Yields { Synthetic Yields (Maturity Bins) . . . . . . . 67
3.2 Time Series of Coupon STRIPS Yields { Synthetic Yields . . . . . . . . 70
3.3 Principal STRIPS Yields { Synthetic Yields (Maturity Bins) . . . . . . 73
3.4 Coupon STRIPS Yields { Principal STRIPS Yields (Maturity Bins) . . 77
4.1 Pfandbrief Yield Spreads relative to German Bunds . . . . . . . . . . . 109
4.2 Yield Spreads relative to public Jumbo Pfandbriefe . . . . . 110
viiviiiList of Tables
2.1 Summary Information for U.S. Treasury Notes and Bonds and U.S.
Treasury STRIPS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.2 Summary Statistics for Coupon STRIPS Yields { Synthetic Yields . . . 28
2.3 Regression Results for Coupon STRIPS Yields { Synthetic Yields . . . 31
2.4 Summary Statistics for Principal STRIPS Yields { Synthetic Yields . . 34
2.5 Regression Results for Principal STRIPS Yields { Synthetic Yields . . . 36
2.6 Results for the Yield Di erences between Coupon STRIPS
and Principal STRIPS . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
2.7 Regression Results for Coupon STRIPS Yields { Synthetic Yields during
the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.8 Summary Statistics and Regression Results for Yield Di erences
between Matched-Maturity Principal STRIPS . . . . . . . . . . . . . . 46
A.1 Summary Statistics for the Yield Di erences between Coupon STRIPS
and Principal STRIPS . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
A.2 Summary Statistics for Coupon STRIPS Yields { Synthetic Yields
during the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . 51
A.3 Summary Statistics for Principal STRIPS Yields { Synthetic Yields
during the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . 52
A.4 Summary Statistics for the Yield Di erences between Coupon STRIPS
and Principal STRIPS during the Financial Crisis . . . . . . . . . . . . 53
3.1 Summary Information for German Bunds and STRIPS . . . . . . . . . 66
3.2 Statistics for Coupon STRIPS Yields { Synthetic Yields . . . 69
3.3 Regression Results for Coupon STRIPS Yields { Synthetic Yields . . . 72
3.4 Summary Statistics for Principal STRIPS Yields { Synthetic Yields . . 74
ixx
3.5 Summary Statistics for Principal STRIPS Yields { Synthetic Yields . . 76
3.6 Regression Results for Yield Di erences between Coupon STRIPS and
Principal STRIPS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
B.1 Summary Statistics for Coupon STRIPS Yields { Synthetic Yields
during the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . 83
B.2 Summary Statistics for Principal STRIPS Yields { Synthetic Yields
during the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . 84
B.3 Summary Statistics for the Yield Di erences between Coupon STRIPS
and Principal STRIPS . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
4.1 Summary Information of the Pfandbrief Data Set (Weekly Data) . . . . 96
4.2 Statistics of Cover Pool Information . . . . . . . . . . . . . . 102
4.3 Summary of Cover Pool Explanatory Variables . . . . . . . . 105
4.4 Information of the Pfandbrief Data Set (Quarterly Data) . . 108
4.5 Descriptive Statistics for Pfandbrief Yield Spreads (Weekly Data) . . . 112
4.6 Regression Results for Yield Spreads (Weekly Data) . . . . . 114
4.7 Results for Pfandbrief Yield Spreads on Cover Pool Variables 121
C.1 Descriptive Statistics for Yield Spreads (Quarterly Data) . . . . . . . . 128
C.2 Regression Results for Pfandbrief Yield Spreads (Quarterly Data) . . . 129