Yield Spread and Term to Maturity: Default vs. Liquidity
分析西班牙国债与非国债固定收益资产的收益率利差与到期期限的关系，发现投资级债券的利差期限结构向下倾斜，但剔除流动性等因素后，违约溢价与期限正相关。
The aim of this paper is the analysis of the yield spreads between Treasury and non–Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a downward sloping term structure of yield spreads for investment–grade bonds that seems to be contrary to the ‘crisis at maturity’ theory. However, we claim that this outcome is caused mainly by the effect of liquidity on yield spreads. Once the effect of liquidity and other factors are removed we find that there is a positive relationship between default premiums and term to maturity. That result is now consistent with the existing literature.