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The Information Content of Interest Rate Spreads Across Financial Systems

  • Frank Browne
  • Warren Tease
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    This paper examines whether information asymmetries and agency costs vary across OECD countries depending on the nature of their financial system. It does this by examining whether the predictive power of the spread between yields on private and government securities (which, it has been argued, reflects such factors) varies across countries. The results indicate that the information content of the spread is highest in those countries with market-based financial systems ... Cette étude a pour objet d'examiner si l'asymétrie d'information et les coûts d'agence varient d'un pays de l'OCDE à l'autre en fonction de la nature du système financier national. Il s'agit de savoir si le pouvoir prédictif de l'écart de rendement entre les titres privés et publics (censé refléter ces facteurs) varie d'un pays à l'autre. A en juger par les résultats obtenus, c'est dans les pays avec un système financier de marché que l'écart de rendement est le plus informatif ...

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    File URL: http://dx.doi.org/10.1787/382885756345
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    Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 109.

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    Date of creation: Apr 1992
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    Handle: RePEc:oec:ecoaaa:109-en
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