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| Tekijä: | Martell, R. |
| Otsikko: | Understanding common factors in domestic and international bond spreads |
| Lehti: | Review of finance
2008 : VOL. 12:2, p. 365-389 |
| Asiasana: | financial markets bond markets international models USA |
| Kieli: | eng |
| Tiivistelmä: | This study deals with the determinants of changes in credit spreads (here as: spds.) for U.S. dollar denominated domestic (as: dom.) and foreign sovereign (as: svrgn.) bonds using fundamentals specified by structural models to separate spds. into their credit and non-credit components. It is found that the non-default portions of spds. have a component common for each type of debt. Furthermore, using a vector autoregressive model, it is found that dom. spds. are related to the lagged component of svrgn. spds. |
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