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雷达卡
作者:
何志国
佩蒙·霍拉米（Paymon Khorrami）
宋兆刚
摘要:
两种基于中介的因素-广泛的财务困境衡量指标和经销商公司债券库存衡量指标-解释了超出标准结构性因素之外，信用利差变化令人困惑的常见变化的大约50％。一个简单的模型，其中中间商面临利润限制，从客户那里吸收资产的供应，说明了记录的解释力，并在经验支持下提供了进一步的含义。首先，虽然与保证金相关的变量（信用等级和杠杆）的债券分类在中介因素负荷上产生单调模式，但与保证金无关的分类则没有模式。其次，经销商库存仅与公司信贷资产一起变动，而中介机构的困扰甚至与非公司信贷资产一起变动。第三，经销商库存增加，债券价格下降
AbstractTwo intermediary-based factors - a broad financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variation of credit spread changes beyond canonical structural factors. A simple model, in which intermediaries facing margin constraints absorb supply of assets from customers, accounts for the documented explanatory power and delivers further implications with empirical support. First, whereas bond sorts on margin-related variables (credit rating and leverage) produce monotonic patterns in loadings on intermediary factors, non-margin-related sorts produce no pattern. Second, dealer inventory co-moves with corporate-credit assets only, whereas intermediary distress co-moves even with non-corporate-credit assets. Third, dealers' inventory increases, and bond prices decline, in response to instrumented bond sales by institutional investors, using severe downgrades ("fallen angels'') and disaster-related insurance losses as IVs.
信用利差变化的共性：经销商库存和中介困境.pdf
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