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New Measures of Australian Corporate Credit Spreads

  • Ivailo Arsov

    (Reserve Bank of Australia)

  • Matthew Brooks

    (Reserve Bank of Australia)

  • Mitch Kosev

    (Reserve Bank of Australia)

Registered author(s):

    Australian corporations access bond markets both domestically and offshore. Despite this, there is a lack of publicly available data on bond market conditions faced by non-financial corporations (NFCs). This gap in the data is particularly apparent at longer maturities where the low level of bond issuance, especially in the domestic market, makes it difficult to gauge the long-term credit spreads faced by resident issuers. To address this lack of data, the article presents a method for estimating aggregate credit spreads of Australian NFCs across maturities ranging from 1 to 10 years. The estimation method is simple, transparent and relatively robust in small samples. The Bank will commence publishing the estimated credit spreads monthly from December 2013.

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    Article provided by Reserve Bank of Australia in its journal RBA Bulletin.

    Volume (Year): (2013)
    Issue (Month): (December)
    Pages: 15-26

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    Handle: RePEc:rba:rbabul:dec2013-03
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    1. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    2. Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
    3. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
    4. Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
    5. Eric Powers & Sergey Tsyplakov, 2008. "What Is the Cost of Financial Flexibility? Theory and Evidence for Make-Whole Call Provisions," Financial Management, Financial Management Association International, vol. 37(3), pages 485-512, 09.
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