WebJul 21, 2014 · A further possible determinant of credit spreads is the difference between the swap interest rate and the interest rate on a par value government bond of the same maturity, known as the swap spread ( Duffie and Singleton 1999; … WebThe determinants of credit spread changes in the euro area In: Market functioning and central bank policy Author & abstract Download 4 References 23 Citations Most related Related works & more Corrections Author Listed: Michael Boss (Austrian National Bank) Martin Scheicher (Austrian National Bank) Registered: Abstract
The Determinants of Credit Spreads - CORE
WebDec 1, 2001 · The Determinants of Credit Spread Changes P. Collin-Dufresne, J. Martin, Robert S. Goldstein Published 1 December 2001 Economics, Business Columbia Business … WebThird, we analyze the determinants of credit spread changes for 5-, 10- and 15-year maturity buckets, even though the majority of the empirical studies focus solely on the 10-year yields. Prior to the financial crisis, our results seem to confirm that there are considerable similarities between the factors explaining the dynamics of the credit ... merchandise packaging boxes
Credit Spread Changes Within Switching Regimes
WebApr 1, 2012 · Sovereign credit spreads’ determinants: theoretical background. The factors that we use as explanatory variables can be divided into two categories: common … WebRussell 2000 index return have signiflcant explanatory power for changes in the credit spread index level. In this paper, we investigate some possible determinants of credit spread changes using credit spread data from Merrill Lynch. We consider flve sets of explanatory variables that WebJun 1, 2009 · Results indicate that changes in the spot rate and changes in the slope of the yield curve are the most important determinants of credit spread changes. Overall, the model is able to describe a large proportion of the variation in credit spread changes – … how old is bigi jackson