UNCOVERING THE COMMON RISK‐FREE RATE IN THE EUROPEAN MONETARY UNION
提出纵向因子分析法，从货币联盟国家的主权债券中提取共同无风险利率，并分解欧洲主权债券收益率为无风险利率、违约风险溢价和流动性风险溢价，发现投资者同时追逐信用质量和流动性。
SUMMARY We introduce longitudinal factor analysis (LFA) to extract the common risk‐free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis methods that rely on the much smaller cross‐sectional dimension. European sovereign bond yields for the period 2006–2011 are decomposed into a CRF rate, a default risk premium and a liquidity risk premium. Our empirical findings suggest that investors chase both credit quality and liquidity, and that they price double default risk on credit default swaps. Copyright © 2013 John Wiley & Sons, Ltd.