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The determinants of credit spread changes in the euro area

In: Market functioning and central bank policy

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Author Info

  • Michael Boss

    (Austrian National Bank)

  • Martin Scheicher

    (Austrian National Bank)

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    Abstract

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    File URL: http://www.bis.org/publ/bppdf/bispap12j.pdf
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    This chapter was published in:

  • Bank for International Settlements, 2002. "Market functioning and central bank policy," BIS Papers, Bank for International Settlements, Bank for International Settlements, number 12, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 12-10.

    Handle: RePEc:bis:bisbpc:12-10

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc.
    2. Kwan, Simon H., 1996. "Firm-specific information and the correlation between individual stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(1), pages 63-80, January.
    3. Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999. "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers 99-027/4, Tinbergen Institute.
    4. Lars E. O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates," IMF Working Papers 94/114, International Monetary Fund.
    5. Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F., 2000. "Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(1), pages 57-86, May.
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    Cited by:
    1. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4231, University of Munich, Munich School of Management.
    2. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 46(3), pages 357-383, 08.
    3. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2597-2605, December.
    4. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(2), pages 278-304.
    5. Mansoor Dailami & Paul Masson & Jean Jose Padou, 2005. "Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads," International Finance, EconWPA 0506003, EconWPA.
    6. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer, Springer, vol. 28(1), pages 29-61, February.

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