Determinants of credit spreads : an empirical analysis for the European corporate bond market
著者
書誌事項
Determinants of credit spreads : an empirical analysis for the European corporate bond market
（Corporate finance and governance, Bd. 6）
P. Lang, c2011
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注記
Originally presented as the author's thesis (doctoral)--European Business School, 2010
Includes bibliographical references (p. 131-137)
内容説明・目次
内容説明
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.
目次
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.
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