THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

Batten, JA; Hogan, WP; Pynnönen, S

THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

Batten, JA Hogan, WP Pynnönen, S

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Publication Type:: Chapter
Citation:: 2003, 4 pp. 379 - 404
Issue Date:: 2003-12-01

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Field	Value	Language
dc.contributor.author	Batten, JA	en_US
dc.contributor.author	Hogan, WP	en_US
dc.contributor.author	Pynnönen, S	en_US
dc.date.issued	2003-12-01	en_US
dc.identifier.citation	2003, 4 pp. 379 - 404	en_US
dc.identifier.isbn	0762310685	en_US
dc.identifier.isbn	9780762310685	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12403
dc.description.abstract	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.	en_US
dc.relation.isbasedon	10.1016/S1569-3767(03)04018-4	en_US
dc.subject.classification	Finance	en_US
dc.title	THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS	en_US
dc.type	Chapter
utslib.citation.volume	4	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1503 Business and Management	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.publication-status	Published	en_US
pubs.volume	4	en_US

Abstract:

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.

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http://hdl.handle.net/10453/12403