search query: @freeterm SPREADS / total: 9
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| Author: | Christiansen, C. |
| Title: | Credit spreads and the term structure of interest rates |
| Journal: | International Review of Financial Analysis
2002 : VOL. 11:3, p. 279-295 |
| Index terms: | Stock markets Bonds Macroeconomics Models |
| Freeterms: | Spreads Treasury yields |
| Language: | eng |
| Abstract: | This paper analyzes the impact of macroeconomic announcements on the correlation btw. credit spreads and the term structure of interest rates. An extended version of the constant conditional correlations framework of Bollerslev 1990 (Rev. Econ. Stat. 72, p. 498-505) is employed to describe the evolution of the first difference of the credit spread, the first difference of the level as well as the slope of the term structure. The main empirical findings of the paper summarized: The credit spread and the level of the term structure are uncorrelated on macroeconomic announcement days. The credit spread and the level (slope) of the term structure are negatively (negatively) correlated. |
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