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Benchmark status in fixed-income asset markets

Author

Listed:
  • Peter G. Dunne

    (Queen's University - Queen's University)

  • michaël J. Moore

    (Queen's University - Queen's University)

  • Richard Portes

    (PJSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique, London Business School - London Business School, CEPR - Center for Economic Policy Research, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

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.

Suggested Citation

  • Peter G. Dunne & michaël J. Moore & Richard Portes, 2007. "Benchmark status in fixed-income asset markets," PSE-Ecole d'économie de Paris (Postprint) halshs-00754214, HAL.
    • Handle: RePEc:hal:pseptp:halshs-00754214
    DOI: 10.1111/j.1468-5957.2007.02039.x
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    References listed on IDEAS

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