TY - CHAP
T1 - THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS
AU - Batten, Jonathan A.
AU - Hogan, Warren P.
AU - Pynnönen, Seppo
PY - 2003
Y1 - 2003
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=36148956129&partnerID=8YFLogxK
U2 - 10.1016/S1569-3767(03)04018-4
DO - 10.1016/S1569-3767(03)04018-4
M3 - Chapter
AN - SCOPUS:36148956129
SN - 0762310685
SN - 9780762310685
VL - 4
T3 - International Finance Review
SP - 379
EP - 404
BT - The Japanese Finance: Corporate Finance and Capital Markets in ...
ER -