This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. ...
Read More
This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are refreshed'' indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.
Read Less
Add this copy of Finance and Economics Discussion Series: Treasury to cart. $34.80, new condition, Sold by Booksplease rated 4.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2015 by Scholar's Choice.
Add this copy of Finance and Economics Discussion Series: Treasury to cart. $35.17, new condition, Sold by Booksplease rated 4.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2013 by Bibliogov.
Add this copy of Finance and Economics Discussion Series: Treasury to cart. $51.93, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2013 by Bibliogov.
Add this copy of Finance and Economics Discussion Series: Treasury to cart. $63.41, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2015 by Scholar's Choice.
All Editions of Finance and Economics Discussion Series: Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis - Scholar's Choice Edition
