کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961563 | 929873 | 2008 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Credit spread determinants: An 85 year perspective
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper estimates a set of credit spread forecasting models using an 85 year history for AAA and BAA corporate bond yield data for the US. Credit spreads are defined as the corporate bond yield less the 20 year yield on US government bonds and are explained by a set of intuitively appealing financial and economic variables. Initial results relate to the application of cointegration techniques to provide long and short run estimates of the key determinants of credit spreads. The analysis is then extended to allow for an unobservable latent variable Markov Switching specification across two separate states. Finally a deterministic regime model based upon an inflation threshold is estimated demonstrating that key causal relationships exist independently across different inflationary environments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 11, Issue 2, May 2008, Pages 180-197
Journal: Journal of Financial Markets - Volume 11, Issue 2, May 2008, Pages 180-197
نویسندگان
Andrew Davies,