Modelling the credit spreads and long-term relationships of Thai Yankee bond issues

Jonathan Batten*, Thomas Fetherston, Pongsak Hoontrakul

*Corresponding author for this work

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

The present study investigates the yield spread between Thai government bonds issued in the US domestic market ('Yankee' bonds) and US Treasury bonds, to determine the long-term equilibrium dynamics and the factors that affect changes in credit spreads. The sample period investigated was from May 5, 1999 to March 26, 2002. The results suggest that the long-term equilibrium relationship holds only between Thai Yankee bonds and long-term US bonds, rather than shorter or equivalent maturity bonds. Also, changes in the credit spreads of Thai Yankee bonds are generally negatively related to changes in the Stock Exchange of Thailand (SET) index (see http://www.set.or.th/th/index.html). Changes in US Treasury bonds also tend to negatively affect spreads on short Thai Yankee bonds and positively affect spreads on long Thai Yankee bonds, although other macroeconomic factors - including exchange rate and capital flow variables - were generally not important.

Original languageEnglish
Pages (from-to)379-397
Number of pages19
JournalAsian Economic Journal
Volume16
Issue number4
Publication statusPublished - Dec 2002

Keywords

  • Credit spreads
  • Long-term equilibrium
  • Thailand
  • Yankee bonds

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    Batten, J., Fetherston, T., & Hoontrakul, P. (2002). Modelling the credit spreads and long-term relationships of Thai Yankee bond issues. Asian Economic Journal, 16(4), 379-397.