Arbeitspapier
Determinants of Euro Term Structure of Credit Spreads
In this paper, we analyze wether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for different rating categories by applying an extension of the Nelson-Siegel method. Then, we analyse the determinants of credit spread changes. According to the structural models and empirical evidence on credit spreads, our results indicate that changes in the level and the slope of the default-free term structure, the market return, implied volatility, and liquidity risk significantly influence credit spread changes. The effect of these factors strongly depends on bond characteristics, especially the rating and to a lesser extent the maturity.
- Sprache
-
Englisch
- Erschienen in
-
Series: NBB Working Paper ; No. 57
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
International Financial Markets
- Thema
-
credit risk
structural models
Nelson-Siegel
Kreditrisiko
Zinsstruktur
Unternehmensanleihe
Theorie
Euromarkt
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Van Landschoot, Astrid
- Ereignis
-
Veröffentlichung
- (wer)
-
National Bank of Belgium
- (wo)
-
Brussels
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Van Landschoot, Astrid
- National Bank of Belgium
Entstanden
- 2004
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