The Determinants of OTC U.S. Corporate Bonds' Credit Spread Changes
Author | : Bo Wang |
Publisher | : |
Total Pages | : 21 |
Release | : 2014 |
ISBN-10 | : OCLC:1308866351 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Determinants of OTC U.S. Corporate Bonds' Credit Spread Changes written by Bo Wang and published by . This book was released on 2014 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the structural model, macroeconomic and liquidity factors are tested against credit spread changes in American OTC corporate bonds. I discovered that the volatility of long run Treasury yield has even greater explanatory power than the yield itself. Macroeconomic indicators, such as Wilshire 5000 Total Market Index, have significant explanatory power over credit spread changes while there is only weak evidence that a common liquidity factor is missing from the model.