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.
2007
Bedendo, Mascia; Cathcart, L; EL JAHEL, L.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/40040
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