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Lookup NU author(s): Dr Minh Nguyen
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).
With the help of a rich collateral haircut dataset, this paper examines the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that newly issued or on-the-run bonds are required lower haircuts and yields than older or off-the-run bonds from the same issuers and with similar maturities. The results suggest 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.
Author(s): Nguyen M
Publication type: Article
Publication status: Published
Journal: International Review of Financial Analysis
Print publication date: 01/05/2020
Online publication date: 27/02/2020
Acceptance date: 24/02/2020
Date deposited: 28/01/2019
ISSN (print): 1057-5219
ISSN (electronic): 1873-8079
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