Determinants of Credit Spreads
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A01=Arne Wilkes
Analysis
Author_Arne Wilkes
Category=KCA
Category=KCBM
Category=KFFK
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Product details
- ISBN 9783631606049
- Weight: 290g
- Dimensions: 148 x 210mm
- Publication Date: 01 Sep 2011
- Publisher: Peter Lang AG
- Publication City/Country: CH
- Product Form: Hardback
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Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Arne Wilkes studied business administration at the WHU – Otto Beisheim School of Management and obtained his doctoral degree at the European Business School (EBS). Today, he works as a consultant at a management consultant firm.
