THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

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

Research output: Chapter in Book/Report/Conference proceedingChapter

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 languageEnglish
Title of host publicationThe Japanese Finance: Corporate Finance and Capital Markets in ...
Pages379-404
Number of pages26
Volume4
DOIs
Publication statusPublished - 2003

Publication series

NameInternational Finance Review
Volume4
ISSN (Print)15693767

    Fingerprint

Cite this

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