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Finance and Economics Discussion Series
Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis
Gregory R Duffee
Livre broché | Anglais
21,45 €
+ 42 points
Format
Description
This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are refreshed'' indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 38
- Langue:
- Anglais
Caractéristiques
- EAN:
- 9781288722303
- Date de parution :
- 06-02-13
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 189 mm x 246 mm
- Poids :
- 86 g
