Government Debt Maturity and Term Structure of Credit Spreads

References

• Altman EI (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 23(4):589–609.Crossref, Google Scholar
• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Amihud Y, Mendelson H (1991) Liquidity, maturity, and the yields on US Treasury securities. J. Finance 46(4):1411–1425.Crossref, Google Scholar
• Badoer DC, James CM (2016) The determinants of long-term corporate debt issuances. J. Finance 71(1):457–492.Crossref, Google Scholar
• Bao J, Pan J (2013) Bond illiquidity and excess volatility. Rev. Financial Stud. 26(12):3068–3103.Crossref, Google Scholar
• Becker B, Ivashina V (2015) Reaching for yield in the bond market. J. Finance 70(5):1863–1902.Crossref, Google Scholar
• Bedendo M, Cathcart L, El-Jahel L (2007) The slope of the term structure of credit spreads: An empirical investigation. J. Financial Res. 30(2):237–257.Crossref, Google Scholar
• Bessembinder H, Kahle KM, Maxwell WF, Xu D (2008) Measuring abnormal bond performance. Rev. Financial Stud. 22(10):4219–4258.Crossref, Google Scholar
• Bretscher L, Hsu A, Tamoni A (2020) Fiscal policy driven bond risk premia. J. Financial Econom. 138(1):53–73.Google Scholar
• Campbell JY, Taksler GB (2003) Equity volatility and corporate bond yields. J. Finance 58(6):2321–2350.Crossref, Google Scholar
• Campbell JY, Lo AW, McKinlay AC (1997) The Econometrics of Financial Markets (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
• Chen L, Lesmond DA, Wei J (2007) Corporate yield spreads and bond liquidity. J. Finance 62(1):119–149.Crossref, Google Scholar
• Chen H, Xu Y, Yang J (2021) Systematic risk, debt maturity, and the term structure of credit spreads. J. Financial Econom. 139(3):770–799.Crossref, Google Scholar
• Chernov M, Schmid L, Schneider A (2020) A macrofinance view of US sovereign CDS premiums. J. Finance 75(5):2809–2844.Crossref, Google Scholar
• Collin-Dufresne P, Goldstein RS, Martin JS (2001) The determinants of credit spread changes. J. Finance 56(6):2177–2207.Crossref, Google Scholar
• Culbertson JM (1957) The term structure of interest rates. Quart. J. Econom. 71(4):485–517.Crossref, Google Scholar
• D’Amico S, King TB (2013) Flow and stock effects of large-scale Treasury purchases: Evidence on the importance of local supply. J. Financial Econom. 108(2):425–448.Crossref, Google Scholar
• Demirci I, Huang J, Sialm C (2019) Government debt and corporate leverage: International evidence. J. Financial Econom. 133(2):337–356.Crossref, Google Scholar
• Dick-Nielsen J, Feldhütter P, Lando D (2012) Corporate bond liquidity before and after the onset of the subprime crisis. J. Financial Econom. 103(3):471–492.Crossref, Google Scholar
• Duffee GR (1998) The relation between Treasury yields and corporate bond yield spreads. J. Finance 53(6):2225–2241.Crossref, Google Scholar
• Duffie D, Lando D (2001) Term structures of credit spreads with incomplete accounting information. Econometrica 69(3):633–664.Crossref, Google Scholar
• Elton EJ, Gruber MJ, Agrawal D, Mann C (2001) Explaining the rate spread on corporate bonds. J. Finance 56(1):247–277.Crossref, Google Scholar
• Graham J, Leary MT, Roberts MR (2014) How does government borrowing affect corporate financing and investment? NBER Working Paper No. 20581, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Greenwood R, Vayanos D (2010) Price pressure in the government bond market. Amer. Econom. Rev. 100(2):585–590.Crossref, Google Scholar
• Greenwood R, Vayanos D (2014) Bond supply and excess bond returns. Rev. Financial Stud. 27(3):663–713.Crossref, Google Scholar
• Greenwood R, Hanson S, Stein JC (2010) A gap-filling theory of corporate debt maturity choice. J. Finance 65(3):993–1028.Crossref, Google Scholar
• Greenwood R, Hanson SG, Stein JC (2015) A comparative-advantage approach to government debt maturity. J. Finance 70(4):1683–1722.Crossref, Google Scholar
• Han B, Subrahmanyam A, Zhou Y (2017) The term structure of credit spreads, firm fundamentals, and expected stock returns. J. Financial Econom. 124(1):147–171.Crossref, Google Scholar
• Houweling P, Mentink A, Vorst T (2005) Comparing possible proxies of corporate bond liquidity. J. Banking Finance 29(6):1331–1358.Crossref, Google Scholar
• Huang J-Z, Huang M (2012) How much of the corporate-Treasury yield spread is due to credit risk? Rev. Asset Pricing Stud. 2(2):153–202.Crossref, Google Scholar
• Krishnamurthy A (2002) The bond/old-bond spread. J. Financial Econom. 66(2–3):463–506.Crossref, Google Scholar
• Krishnamurthy A, Vissing-Jorgensen A (2011) The effects of quantitative easing on interest rates: Channels and implications for policy. Brookings Papers on Economic Activity, vol. 43 (Brookings Institution, Washington, DC), 215–287.Google Scholar
• Krishnamurthy A, Vissing-Jorgensen A (2012) The aggregate demand for Treasury debt. J. Political Econom. 120(2):233–267.Crossref, Google Scholar
• Li C, Wei M (2013) Term structure modelling with supply factors and the Federal Reserve’s large-scale asset purchase programs. Internat. J. Central Banking 9(1):3–40.Google Scholar
• Li W, Ma Y, Zhao Y (2019) The passthrough of Treasury supply to bank deposit funding. Preprint, submitted January 9, https://dx.doi.org/10.2139/ssrn.3311314.Google Scholar
• Liu Y (2023) Government debt and risk premia. J. Monetary Econom. 136:18–34.Google Scholar
• Liu Y, Schmid L, Yaron A (2020) The risks of safe assets. Preprint, submitted November 13, https://dx.doi.org/10.2139/ssrn.3699618.Google Scholar
• Longstaff FA (2004) The flight-to-liquidity premium in U.S. Treasury bond prices. J. Bus. 77(3):511–526.Crossref, Google Scholar
• Longstaff FA, Mithal S, Neis E (2005) Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. J. Finance 60(5):2213–2253.Crossref, Google Scholar
• Merton RC (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29(2):449–470.Google Scholar
• Modigliani F, Sutch R (1966) Innovations in interest rate policy. Amer. Econom. Rev. 56(1/2):178–197.Google Scholar
• Nagel S (2016) The liquidity premium of near-money assets. Quart. J. Econom. 131(4):1927–1971.Crossref, Google Scholar
• Reichlin L (2011) Comments on Let’s twist again: A high-frequency event-study analysis of Operation Twist and its implications for QE2. Brookings Papers Econom. Activity Spring, vol. 42 (Brookings Institution, Washington, DC), 189–195.Crossref, Google Scholar
• Sarig O, Warga A (1989) Some empirical estimates of the risk structure of interest rates. J. Finance 44(5):1351–1360.Crossref, Google Scholar
• Swanson ET (2011) Let’s twist again: A high-frequency event-study analysis of Operation Twist and its implications for QE2. Brookings Papers on Econom. Activity 2011(1):151–188.Crossref, Google Scholar
• Vayanos D, Vila J (2021) A preferred‐habitat model of the term structure of interest rates. Econometrica 89(1):77–112.Crossref, Google Scholar
• Wall Street Journal (2010) An open letter to Ben Bernanke. Wall Street J. (November 16), A17, https://www.wsj.com/articles/BL-REB-12460.Google Scholar
• Wright JH (2012) What does monetary policy do to long-term interest rates at the zero lower bound? Econom. J. 122(564):F447–F466.Google Scholar
• Yu F (2005) Accounting transparency and the term structure of credit spreads. J. Financial Econom. 75(1):53–84.Crossref, Google Scholar