Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
利用欧元区国债数据，发现信用质量解释大部分主权利差，但流动性对低风险国家和市场不确定时期也重要；大规模资金流入几乎只由流动性决定，表明市场压力下投资者追逐流动性而非信用质量。
Do bond investors demand credit quality or liquidity? The answer is both, but at different<br/>times and for different reasons. Using data on the Euro-area government bond market,<br/>which features a unique negative correlation between credit quality and liquidity across<br/>countries, we show that the bulk of sovereign yield spreads is explained by differences<br/>in credit quality, though liquidity plays a nontrivial role, especially for low credit risk<br/>countries and during times of heightened market uncertainty. In contrast, the destination of<br/>large flows into the bond market is determined almost exclusively by liquidity.We conclude<br/>that credit quality matters for bond valuation but that, in times of market stress, investors<br/>chase liquidity, not credit quality.