Understanding Common Factors in Domestic and International Bond Spreads
AbstractI study the determinants of changes in credit spreads for U.S. dollar denominated domestic and foreign sovereign bonds using fundamentals specified by structural models to separate spreads into their credit and non-credit components. I find that the non-default portions of spreads have a component that is common for each type of debt. Further, using a vector autoregressive model, I find that domestic spreads are related to the lagged component of sovereign spreads. I also find that some proxies for liquidity are related to the common components, suggesting a liquidity-based explanation for the common component not identified by previous research. Copyright 2008, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by European Finance Association in its journal Review of Finance.
Volume (Year): 12 (2008)
Issue (Month): 2 ()
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jens Hilscher & Yves Nosbusch, 2010.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Review of Finance,
European Finance Association, vol. 14(2), pages 235-262.
- Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.