THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

Jonathan A. Batten; Warren P. Hogan; Seppo Pynnönen

doi:10.1016/S1569-3767(03)04018-4

THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

Jonathan A. Batten, Warren P. Hogan, Seppo Pynnönen

Macquarie Graduate School of Management

Research output: Chapter in Book/Report/Conference proceeding › Chapter

2 Citations (Scopus)

Abstract

This study develops an equilibrium model of credit spreads on Japanese yen Eurobonds based on a model proposed by Collin-Dufresne, Goldstein and Martin (2001). We find the asset factor, as proxied by the change in the stock market index, has only a limited effect, while the interest rate factor has the over-riding influence. There is also evidence that currency volatility and changes in the term structure occasionally have an effect on spread behaviour. Analysis over several subperiods, based around key economic events, demonstrates that the relative weight of these explanatory variables change over time.

Original language	English
Title of host publication	The Japanese Finance: Corporate Finance and Capital Markets in ...
Pages	379-404
Number of pages	26
Volume	4
DOIs	https://doi.org/10.1016/S1569-3767(03)04018-4
Publication status	Published - 2003

Publication series

Name	International Finance Review
Volume	4
ISSN (Print)	15693767

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Batten, J. A., Hogan, W. P., & Pynnönen, S. (2003). THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS. In The Japanese Finance: Corporate Finance and Capital Markets in ... (Vol. 4, pp. 379-404). (International Finance Review; Vol. 4). https://doi.org/10.1016/S1569-3767(03)04018-4

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Access to Document

10.1016/S1569-3767(03)04018-4

Link to publication in Scopus