THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS
- Publication Type:
- 2003, 4 pp. 379 - 404
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
This study develops an equilibrium model of credit spreads on Japanese yen Eurobonds based on a model proposed by Collin-Dufresne, Goldstein and Martin (2001). We find the asset factor, as proxied by the change in the stock market index, has only a limited effect, while the interest rate factor has the over-riding influence. There is also evidence that currency volatility and changes in the term structure occasionally have an effect on spread behaviour. Analysis over several subperiods, based around key economic events, demonstrates that the relative weight of these explanatory variables change over time. © 2003 Elsevier Ltd. All rights reserved.
Please use this identifier to cite or link to this item: