Dynamic equilibrium correction modelling of yen Eurobond credit spreads

Pynnonen, S; Hogan, W; Batten, J

Dynamic equilibrium correction modelling of yen Eurobond credit spreads

Pynnonen, S Hogan, W Batten, J

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Publisher:: Elsevier
Publication Type:: Chapter
Citation:: Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 171 - 186
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Pynnonen, S	en_US
dc.contributor.author	Hogan, W	en_US
dc.contributor.author	Batten, J	en_US
dc.contributor.editor	Batten, J	en_US
dc.contributor.editor	Fetherston, TA	en_US
dc.contributor.editor	Szilagyi, PG	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 171 - 186	en_US
dc.identifier.isbn	0444520201	en_US
dc.identifier.uri	http://hdl.handle.net/10453/11617
dc.description.abstract	Understanding the long term relationship between the yields afrisky and riskless bonds is a critical tusk for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with high quality credit ratings. The empirical results indicate that the corporate bond yields are cointegrated with the otherwise equivalent JGB yields, with the spread defining the cointegration relation. Tn addition the results indicate that the equilibrium correction term is highly statistically significant in modelling credit spread changes. Another important factor is the risk-free interest rate with the negative sign, while there is little evidence of the contribution of the asset return to the behaviour of spreads.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives	en_US
dc.title	Dynamic equilibrium correction modelling of yen Eurobond credit spreads	en_US
dc.type	Chapter
utslib.location	Amsterdam, Netherlands	en_US
utslib.for	1503 Business and Management	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.citation.edition	1	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1	en_US
pubs.place-of-publication	Amsterdam, Netherlands	en_US

Abstract:

Understanding the long term relationship between the yields afrisky and riskless bonds is a critical tusk for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with high quality credit ratings. The empirical results indicate that the corporate bond yields are cointegrated with the otherwise equivalent JGB yields, with the spread defining the cointegration relation. Tn addition the results indicate that the equilibrium correction term is highly statistically significant in modelling credit spread changes. Another important factor is the risk-free interest rate with the negative sign, while there is little evidence of the contribution of the asset return to the behaviour of spreads.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/11617