In this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way.
The Slope of the Term Structure of Credit Spreads: An Empirical Investigation
BEDENDO, MASCIA;
2007
Abstract
In this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way.File in questo prodotto:
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