Benchmark Status in Fixed‐Income Asset Markets
从理论上定义基准债券，提出识别基准的计量方法，并应用于美国公司债和欧洲主权债市场，发现法国国债和IBM债券分别是各自市场的基准。
Abstract: What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro‐denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.