search query: @author Pynnönen, S. / total: 3
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| Author: | Batten, J. Hogan, W. Pynnönen, S. |
| Title: | The dynamics of Australian dollar bonds with different credit qualities |
| Journal: | International Review of Financial Analysis
2000 : VOL. 9:4, p. 389-404 |
| Index terms: | BONDS CREDIT DOLLARS EQUILIBRIUM ANALYSIS AUSTRALIA |
| Language: | eng |
| Abstract: | The authors investigate the long-term equilibrium relationship between Australian dollar bonds of different credit quality. Contrary to the expectations hypothesis, they find the yields of Eurobonds are not cointegrated with the equivalent maturity Government bond. Nevertheless, the results suggest that the yields of the different risk classes of Eurobonds are cointegrated with one another, with the higher-rated bond yields tending to lead the lower-rated yields. |
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