债券市场流动性的期限结构

先前国债市场非流动性跨度短时间的研究只专注于特定的期限。相比之下,我们所研究的是对于不同期限较长时间的样本,联合时序的非流动性不足。我们也对时间序列因素的新发行国债与国债的非流动性进行了比较。非流动性的增加与在衰退期间长期和短期债券之间的利差差异在显著扩大,“飞行流动性”现象表明在经济收缩期间投资者会转向流动性更强的短期债券。我们阐明了,由于例如通货膨胀等宏观经济变量和联邦基金利率预测国债流动性不足 但只有对新发行国债的非流动性有着适度的预测能力。所有投资期限下的债券收益率都是根据短期非流动性来预测的，但非根据其他投资期限下的非流动性或者在行债券非流动性（来预测）。因此,短期债券流动性,首先通过股票大盘反映,是在美国国债市场中流动性溢价的主要来源。

我们认为Yakov Amihud, Michael Fleming, Tyler Henry, Paul Irvine, Tao Shu, Chris Stivers, Stijn Van Nieuwerburgh, Ginger Wu参加一个在佐治亚大学的研讨会,在2007年金融经济学会议以及在纽约大学的会计价值评论。
 

债券市场流动性的期限结构-The Term Structure Of Bond Market Liquidity 

 

Previous studies of Treasury market illiquidity span short time-periods and focus on particular maturities. In contrast, we study the joint time-series of illiquidity for different maturities over an extended time sample. We also compare time series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting a “flight to liquidity” phenomenon wherein investors shift into the more liquid short-term bonds during economic contractions. We also document that macroeconomic variables such as inflation and federal fund rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity. Bond returns across all maturities are forecastable by off-the-run short-term illiquidity but not by illiquidity of other maturities or by on-the-run bond illiquidity. Thus, short-term off-the-run liquidity, by reflecting macro shocks first, is the primary source of the liquidity premium in the Treasury bond market.

Ruslan Y. Goyenko, McGill University, 1001 Sherbrooke St. West, Montreal, Quebec H3A 1G5. E-mail: ruslan.goyenko@mcgill.ca. Avanidhar Subrahmanyam, Goldyne and Irwin Hearsh Chair in Money and Banking, UCLA Anderson School of Management, subra@anderson.ucla.edu Andrey D. Ukhov, Kelley School of Business, Indiana University, 1309 E. Tenth Street, Bloomington, IN 47405. E-mail: aukhov@indiana.edu.

 

We thank Yakov Amihud, Michael Fleming, Tyler Henry, Paul Irvine, Tao Shu, Chris Stivers, Stijn Van Nieuwerburgh, Ginger Wu, and participants in a seminar at the University of Georgia, and at the 2007 Conference on Financial Economics and Accounting at New York University for valuable comments.

 

文摘-Abstract

 

Previous studies of Treasury market illiquidity span short time-periods and focus on particular maturities. In contrast, we study the joint time-series of illiquidity for different maturities over an extended time sample. We also compare time series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting a “flight to liquidity” phenomenon wherein investors shift into the more liquid short-term bonds during economic contractions. We also document that macroeconomic variables such as inflation and federal fund rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity. Bond returns across all maturities are forecastable by off-the-run short-term illiquidity but not by illiquidity of other maturities or by on-the-run bond illiquidity. Thus, short-term off-the-run illiquidity, by reflecting macro shocks first, is the primary source of the liquidity premium in the Treasury bond market.

 

引言-Introduction

 

U.S. Treasury Bond Markets are crucial for asset allocation purposes as well as in the setting of benchmark riskless rates used by corporations in capital budgeting. Indeed, average daily trading volume in Treasury markets is about $500 billion, compared to only about $100 billion on the NYSE. This trading activity allows for price discovery, and Brandt and Kavajecz (2004) argue that the extent of price discovery in the Treasury bond is intimately linked to the markets’ liquidity. Further, events such as the 1998 bond market turmoil have heightened concerns about bond liquidity crises. Hence, understanding the dynamics of bond market liquidity is of clear academic and practical importance. The attribute of liquidity is also important because it influences expected returns by way of a liquidity premium embedded in bond prices (Amihud, Mendelson, and Pedersen, 2005).

 

Notwithstanding the importance of understanding liquidity dynamics there remain critical gaps in the literature on bond market liquidity. These lacunae arise because the bond market is not homogeneous but its constituent securities vary by maturity and seasonedness (i.e., on-the-run status). For example, while the presence of a liquidity premium in bond prices was first established for off-the-run bonds (Amihud and Mendelson, 1991), the previous literature mostly focuses on the dynamics of on-the-run liquidity. Thus, off-the-run liquidity dynamics, which are empirically the most relevant for bond pricing, have not yet been studied. Moreover, while the pricing implications of illiquidity in the stock market have been explored in the time-series and on different cross-sections of stock portfolios, the pricing implications of bond liquidity across different maturities are still unexplored in the literature.

 

We contribute on both the preceding dimensions by making use of a long time-series of bond liquidity data. The time span of the analysis is important because it allows us to subsume a variety of economic events. As Shiller and Perron (1985) and Shiller (1989) show, increasing the number of observations by sampling more frequently while leaving the total time span of the data unchanged may not increase the power of tests very much. We thus consider an extensive time period that spans November 1967 to December 2005. For this period, we consider the joint dynamics of liquidity and returns across seasonedness and three different maturity classes: short, medium and long.

 

To our knowledge, there is no previous study that uses such a long time-series and describes the dynamics of liquidity and returns across maturities and on-the-run status within a unified framework. Our analysis allows us to address the following issues, which are as yet un-examined in the literature:

 

Previous research (Brunnermeier and Pedersen, 2006, and Chordia, Roll, and Subrahmanyam, 2005) suggests that macroeconomic variables and price volatility may impact bond market liquidity by affecting market-making costs. Do such variables differentially impact on- and off-the-run market making costs, and in turn, liquidities?

 

Are bond returns forecastable from liquidity levels, i.e., is there evidence of liquidity premia in the bond market?

 

How are liquidity shocks transmitted in the bond market? Are they reflected first in the relatively less active off-the-run issues or the more active on-the-run ones?

 

If the liquidity of certain bonds forecasts those of other bonds by reflecting liquidity shocks first, then it may forecast returns not just in the own-market but in other markets as well. This is because liquidity levels in the own-market provide information about future liquidity, and liquidity premia in other markets. This leads us to the question: How does the predictive power of liquidity for bond returns vary across maturity and off-the-run status?

 

We find that liquidity conditions in the bond market are affected by the economic environment. For example, bond spreads increase during recessions. Moreover, the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting that investors shift funds into short-term bonds during this time, thus creating liquidity. This is consistent with flight-to-quality and flight-to-liquidity phenomena.

 

Our Granger-causality results indicate that short-term liquidity causes long-term liquidity and that there is no evidence of reverse causality. This indicates that liquidity shocks are transmitted from the short end to the long end. We also find that off-the-run liquidity can be predicted by a larger set of macroeconomic and market variables than on-the-run liquidity. Thus, shocks to inflation and monetary policy tightening, associated with positive shocks to the federal fund rate, increase off-the-run liquidity across all maturities, consistent with the notion that these macroeconomic variables affect order processing and inventory holding costs. However, for on-the-run liquidity, the predictive power of the macro variables is considerably reduced. This is consistent with the notion that active trading in on-the-run bonds mitigates the impact of macro variables on inventory holding costs.