Determinants of Credit Spreads
An Empirical Analysis for the European Corporate Bond Market
(Sprache: Englisch)
Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to...
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Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Inhaltsverzeichnis zu „Determinants of Credit Spreads “
Contents: Are European corporate bond markets integrated? ¿ A macro-finance term structure model approach ¿ Has liquidity risk for bonds increased during the financial crisis? ¿ A study for the European corporate bond market ¿ The short and long-term determinants of credit spreads ¿ An analysis for the European corporate bond market.
Autoren-Porträt von Arne Wilkes
Arne Wilkes studied business administration at the WHU - Otto Beisheim School of Management and obtained his doctoral degree at the European Business School (EBS). Today, he works as a consultant at a management consultant firm.
Bibliographische Angaben
- Autor: Arne Wilkes
- 2011, Neuausgabe, 138 Seiten, Maße: 15,1 x 21,8 cm, Gebunden, Englisch
- Verlag: Peter Lang Ltd. International Academic Publishers
- ISBN-10: 3631606044
- ISBN-13: 9783631606049
- Erscheinungsdatum: 01.09.2011
Sprache:
Englisch
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