Determinants of Euro Term Structure of Credit Spreads
By A. Landschoot. Social Science Research Network, 2004
179 citations recorded by the source corpus.
In this paper, we analyze wether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for different rating categories by applying an extension of the Nelson-Siegel method. Then, we analyse the determinants of credit spread changes. According to the structural models and empirical evidence on credit spreads, our results indicate that changes in the level and the slope of the default-free term structure, the market return, implied volatility, and liquidity risk significantly influence credit spread changes. The effect of these factors strongly depends on bond characteristics, especially the rating and to a lesser extent the maturity.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/cf504f49376df5f626c30ab8d65c9e73e858bb9f
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Citations in the corpus
- Exploring the CDS-Bond Basis (2006, unknown): “Secondly, it arms the reader/investor to assess 2 See Skinner and Townend (2002) or Whetten et al. (2004) for a description of the option-like characteristics of a CDS. 3 See e.g. Aunon-Nerin et al. (2002), Collin-Dufresne et al. (2001), Van Landschoot (2004) and many others.”
- Decomposing European CDS Returns (2010, result): “Boss and Scheicher (2002), Van Landschoot (2004), Annaert et al. (2006), Alexander and Kaeck (2008) and Castagnetti and Rossi (2008) analyze the explanatory power of variables that should in theory determine European credit spread changes, often in a similar fashion to the studies by…”