Econ Papers Daily / 期刊论文
金融溢价
The Financial Premium
摘要
We show that bonds issued by financial firms have higher spreads than bonds issued by industrial firms with the same rating and maturity, a difference that we refer to as the financial premium. Over the period 1987 to 2020, in the United States, this premium is 43 basis points on average, with the premium higher for lower ratings, higher during financial crises, and increasing in bond beta. We derive a model that explains the financial premium: banks hold diversified portfolios of nonfinancial debt, and bank debt therefore reflects more systematic risk than nonfinancial debt.
中文摘要
我们发现，金融机构发行的债券相比同等评级和期限的工业企业的债券具有更高的利差，我们将这一差异称为金融溢价。在1987年至2020年间，美国的这一溢价平均为43个基点，且评级越低溢价越高，在金融危机期间溢价更高，并随着债券贝塔值的增加而增加。我们推导出一个模型来解释金融溢价：银行持有非金融债务的多样化投资组合，因此银行债务相比非金融债务反映了更多的系统性风险。