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Opis

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.

Szczegóły książki

Kategoria Knihy po anglicky Society & social sciences Politics & government

• Pełny tytuł: Finance and Economics Discussion Series
• Podtytuł: Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis
• Autor: Gregory R Duffee
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 38
• EAN: 9781288722303
• ISBN: 9781288722303
• ID: 08275311
• Wydawca: Bibliogov
• Waga: 86 g
• Wymiary: 246 × 189 × 2 mm
• Data wydania: 06. February 2013

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