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The determinants of credit spread changes in the euro area

In: Market functioning and central bank policy

Author

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  • Michael Boss

    (Austrian National Bank)

  • Martin Scheicher

    (Austrian National Bank)

Abstract

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Suggested Citation

  • Michael Boss & Martin Scheicher, 2002. "The determinants of credit spread changes in the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 181-199, Bank for International Settlements.
    • Handle: RePEc:bis:bisbpc:12-10
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    File URL: http://www.bis.org/publ/bppdf/bispap12j.pdf
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    References listed on IDEAS

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    1. Leland, Hayne E, 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
    2. Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    5. Kwan, Simon H., 1996. "Firm-specific information and the correlation between individual stocks and bonds," Journal of Financial Economics, Elsevier, vol. 40(1), pages 63-80, January.
    6. 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, vol. 7(1), pages 57-86, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. 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, vol. 22(2), pages 278-304.
    2. Lee, Hyunchul, 2021. "Time-varying comovement of stock and treasury bond markets in Europe: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 1-20.
    3. Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
    4. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
    5. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
    6. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Li, Xiao-Lin & Li, Xin & Si, Deng-Kui, 2020. "Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    8. Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
    9. Leonardo Becchetti & Andrea Carpentieri & Iftekhar Hasan, 2012. "Option†Adjusted Delta Credit Spreads: a Cross†Country Analysis," European Financial Management, European Financial Management Association, vol. 18(2), pages 183-217, March.
    10. Niklas Wagner & Warren Hogan & Jonathan Batten, 2005. "Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 35-50, February.
    11. 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, vol. 46(3), pages 357-383, August.
    12. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
    13. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
    14. Nusrat Jahan, 2022. "Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada," Carleton Economic Papers 22-07, Carleton University, Department of Economics.
    15. Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2008. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1325-1336, December.
    16. Rim Boussaada & Abdelaziz Hakimi & Majdi Karmani, 2022. "Is there a threshold effect in the liquidity risk–non‐performing loans relationship? A PSTR approach for MENA banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1886-1898, April.
    17. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area," Bank of Finland Research Discussion Papers 34/2009, Bank of Finland.
    18. Astrid Van Landschoot, 2004. "The Determinants of Credit Spreads," Financial Stability Review, National Bank of Belgium, vol. 2(1), pages 135-155, June.
    19. Astrid Van Landschoot, 2004. "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research 57, National Bank of Belgium.
    20. Sergio Mayordomo & Juan Ignacio Pe�a, 2014. "An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives," Applied Financial Economics, Taylor & Francis Journals, vol. 24(9), pages 605-619, May.
    21. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area," Research Discussion Papers 34/2009, Bank of Finland.
    22. Ombretta Terazzan, 2006. "Estimating the Term Structure of Credit Spreads on Euro‐denominated Corporate Bonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(3), pages 355-375, November.
    23. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 29-61, February.
    24. repec:zbw:bofrdp:2009_034 is not listed on IDEAS

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