Dynamic equilibrium correction modelling of yen Eurobond credit spreads

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dc.contributor.author Pynnonen, Seppo en_US
dc.contributor.author Hogan, Warren en_US
dc.contributor.author Batten, Jonathan en_US
dc.contributor.editor Batten, J; Fetherston, T A; Szilagyi, P G en_US
dc.date.accessioned 2010-06-16T04:55:05Z
dc.date.available 2010-06-16T04:55:05Z
dc.date.issued 2006 en_US
dc.identifier 2006005818 en_US
dc.identifier.citation Pynnonen Seppo, Hogan Warren, and Batten Jonathan 2006, 'Dynamic equilibrium correction modelling of yen Eurobond credit spreads', in NA (ed.), Elsevier, Amsterdam, Netherlands, pp. 171-186. en_US
dc.identifier.issn 0444520201 en_US
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/11617
dc.description.abstract Understanding the long term relationship between the yields afrisky and riskless bonds is a critical tusk for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with high quality credit ratings. The empirical results indicate that the corporate bond yields are cointegrated with the otherwise equivalent JGB yields, with the spread defining the cointegration relation. Tn addition the results indicate that the equilibrium correction term is highly statistically significant in modelling credit spread changes. Another important factor is the risk-free interest rate with the negative sign, while there is little evidence of the contribution of the asset return to the behaviour of spreads. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon NA en_US
dc.title Dynamic equilibrium correction modelling of yen Eurobond credit spreads en_US
dc.parent Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 171 en_US
dc.identifier.endpage 186 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010200 en_US
dc.personcode 0000018251 en_US
dc.personcode 998277 en_US
dc.personcode 0000017798 en_US
dc.percentage 50 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US


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