Determinants of Credit Spreads on U.S. Dollar-denominated Asian Corporate Bonds

Download or read book Determinants of Credit Spreads on U.S. Dollar-denominated Asian Corporate Bonds written by Sungmin Jo and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.