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The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-4840-7649
2017 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131Article in journal (Refereed) In press
Abstract [en]

In this paper we investigate the relation between treasury yields and corporate bond yield spreads. This is done by estimating VAR models on monthly Australian data from January 2005 to March 2017. Our results suggest—in line with mainstream theoretical models— that a higher risk free rate compresses the corporate bond yield spread. We also find that a higher corporate bond yield spread lowers the three-month treasury bill rate.

Place, publisher, year, edition, pages
Elsevier, 2017.
Keywords [en]
Vector autoregressions, Credit spreads
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-61619DOI: 10.1016/j.frl.2017.09.009OAI: oai:DiVA.org:oru-61619DiVA, id: diva2:1150104
Available from: 2017-10-17 Created: 2017-10-17 Last updated: 2017-10-19Bibliographically approved

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Österholm, Pär

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