Dynamic equilibrium correction modelling of yen Eurobond credit spreads

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dc.contributor.author Pynnonen, S
dc.contributor.author Hogan, W
dc.contributor.author Batten, J
dc.contributor.editor Batten, J
dc.contributor.editor Fetherston, TA
dc.contributor.editor Szilagyi, PG
dc.date.accessioned 2010-06-16T04:55:05Z
dc.date.issued 2006-01
dc.identifier.citation Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 171 - 186
dc.identifier.isbn 0444520201
dc.identifier.other B1 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.
dc.publisher Elsevier
dc.title Dynamic equilibrium correction modelling of yen Eurobond credit spreads
dc.type Chapter
dc.parent Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives
dc.journal.number en_US
dc.publocation Amsterdam, Netherlands en_US
dc.publocation Chicago, USA
dc.identifier.startpage 171 en_US
dc.identifier.endpage 186 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1503 Business and Management
dc.for 0102 Applied Mathematics
dc.personcode 998277
dc.percentage 50 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Uncategorised (ID: 363)
utslib.collection.history Closed (ID: 3)


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