Collateral Haircuts and Bond Yields in the European Government Bond Markets

34 Pages Posted: 30 Jul 2018 Last revised: 20 Feb 2020

See all articles by Minh Nguyen

Minh Nguyen

Newcastle University Business School

Date Written: Jan 15, 2020

Abstract

Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling for the variations in credit quality, market liquidity and the effects of the European sovereign debt crisis.

Keywords: Liquidity, Funding Constraints, Asset Pricing, European Government Bond Markets, Central Bank Monetary Policies

JEL Classification: G10, G12, G15, G18

Suggested Citation

Nguyen, Minh, Collateral Haircuts and Bond Yields in the European Government Bond Markets (Jan 15, 2020). Available at SSRN: https://ssrn.com/abstract=3222102 or http://dx.doi.org/10.2139/ssrn.3222102

Minh Nguyen (Contact Author)

Newcastle University Business School ( email )

Newcastle upon Tyne, NE1 7RU
United Kingdom

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