A No-Arbitrage Analysis of the Economic Determinants of the Credit Spread Term Structure
We summarize the state of the economy using three default-free interest-rate factors, two macroeconomic factors, and two financial factors. We then build a no-arbitrage model that links the dynamics and market prices of these factors to the term structure of credit spreads for corporate bonds at different credit rating groups. Estimation shows that credit spreads decline with increasing interestrate levels and flattening term structure slopes, but increase with rising financial leverage and, to a lesser extent, with rising stock market volatility. Upward shocks on inflation strongly narrow the credit spread at short maturities, but their impacts on long-term spreads are close to zero, thus generating a strong slope effect on the credit spread term structure.
Credit spreads term structure interest rates macroeconomic factors financial leverage volatility dynamic factor model Kalman filter
LIUREN WU FRANK XIAOLING ZHANG
Zicklin School of Business, Baruch College One Bernard BaruchWay, Box B10-225, New York, NY 10010-55 Division of Research and Statistics, Federal Reserve Board, Washington, DC 20551
国际会议
西安
英文
1-35
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）