Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds
This paper addresses empirical analysis of Malaysian credit spreads in a number of directions. Firstly, the investigation of explanatory power of macroeconomic or market variables to the changes in the spreads. Secondly, use of daily data rather than data sampled to match typical macroeconomic data release. Third, a focused study on the market behaviour of bonds issued from a rapidly emerging market. Fourth, the inclusion of semi-parametric measures to better capture the behaviour of the credit spreads. This study finds that changes in credit spread of Malaysian bonds are only receptive to certain macroeconomic factors. Also changes in credit spreads are negatively correlated with the interest factor but this study could not find convincing evidence to support the argument of a negative relationship with the asset factor.
|Date of creation:||17 Jul 2007|
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