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Credit Spreads und ihre Determinanten: Eine empirische Analyse für Deutschland


  • Horst Rottmann

    (Hochschule für Angewandte Wissenschaften Weiden und ifo Institut München)

  • Franz Seitz

    (Hochschule für Angewandte Wissenschaften Weiden und WSB Poznan (Polen), Hetzenrichter Weg 15, D-92637 Weiden)


Analyses of credit spreads, i. e. the difference between the returns on corporate loans and on no-risk investments for periods equivalent in length, can provide useful information to both business managers and to external observers. In this article, fundamental determinants of such credit spreads have been defined in theoretical terms and been subjected to empirical review on the basis of fixed-rate loan issues of non-financial DAX enterprises. At the micro-econometrics level, a new set of data for Germany has been used for taking account of empirically observable market characteristics in adequate panel methods. In this context, a structural model has been combined with a reduced form approach. Compared to traditional approaches, the result is a significantly better explanation based on economically provable variables.

Suggested Citation

  • Horst Rottmann & Franz Seitz, 2008. "Credit Spreads und ihre Determinanten: Eine empirische Analyse für Deutschland," Credit and Capital Markets, Credit and Capital Markets, vol. 41(1), pages 59-78.
  • Handle: RePEc:kuk:journl:v:41:y:2008:i:1:p:59-78

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models


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