Time variation in the credit spreads on Australian Eurobonds

Batten, JA; Hogan, WP

Time variation in the credit spreads on Australian Eurobonds

Batten, JA Hogan, WP

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Publication Type:: Journal Article
Citation:: Pacific Basin Finance Journal, 2003, 11 (1), pp. 81 - 99
Issue Date:: 2003-01-01

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Field	Value	Language
dc.contributor.author	Batten, JA	en_US
dc.contributor.author	Hogan, WP	en_US
dc.date.issued	2003-01-01	en_US
dc.identifier.citation	Pacific Basin Finance Journal, 2003, 11 (1), pp. 81 - 99	en_US
dc.identifier.issn	0927-538X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5260
dc.description.abstract	Traditional theories of credit spread behaviour predict that changes in the risk-free interest rate and asset factors are negatively correlated with changes in credit spreads on risky bonds. This study investigates this proposition in the Australian context by investigating the spread between three different rating classes and four maturities of Australian dollar Eurobonds and Australian government bonds. Using a daily data set that is divided into three subperiods between 2 January 1995 and 25 August 1998, the results confirm this empirical proposition. However, the relative weight of the explanatory variables changes with the subperiods investigated. © 2003 Elsevier Science B.V. All rights reserved.	en_US
dc.relation.ispartof	Pacific Basin Finance Journal	en_US
dc.relation.isbasedon	10.1016/S0927-538X(02)00097-5	en_US
dc.subject.classification	Finance	en_US
dc.title	Time variation in the credit spreads on Australian Eurobonds	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	11	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	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.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	11	en_US

Abstract:

Traditional theories of credit spread behaviour predict that changes in the risk-free interest rate and asset factors are negatively correlated with changes in credit spreads on risky bonds. This study investigates this proposition in the Australian context by investigating the spread between three different rating classes and four maturities of Australian dollar Eurobonds and Australian government bonds. Using a daily data set that is divided into three subperiods between 2 January 1995 and 25 August 1998, the results confirm this empirical proposition. However, the relative weight of the explanatory variables changes with the subperiods investigated. © 2003 Elsevier Science B.V. All rights reserved.

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http://hdl.handle.net/10453/5260