Determinants of corporate credit spread: evidence from India

Bhanu Pratap Singh Thakur (), M. Kannadhasan () and Vinay Goyal ()
Additional contact information
Bhanu Pratap Singh Thakur: Indian Institute of Management Raipur
M. Kannadhasan: Indian Institute of Management Raipur
Vinay Goyal: Indian Institute of Management Raipur

DECISION: Official Journal of the Indian Institute of Management Calcutta, 2018, vol. 45, issue 1, No 5, 59-73

Abstract: Abstract Understanding the behavior of corporate credit spread is of paramount importance to understand and manage risk in fixed income securities. This study examines the determinants of corporate credit spread in Indian bond market. By adopting a panel data approach, the study estimates a fixed-effects regression equation to analyze the determinants of corporate credit spread in Indian bond market. The variables used in the study are motivated from structural models and macroeconomic variables and include interest rate variables, stock market variables, inflation and economic growth. The study found that the interest rate variables, stock market variables and inflation are the key variables in explaining the level of corporate credit spread in Indian bond market. The results are robust to the traditional approach of using aggregate yield spread for the whole sample and also when the sample was divided using different industrial classification. Overall, the study highlights the importance of stable interest rate and inflationary environment for the development of Indian corporate bond market.

Keywords: Credit spread determinants; Credit risk; Indian bond market; Panel data analysis (search for similar items in EconPapers)
JEL-codes: G12 G18 G19 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s40622-018-0179-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decisn:v:45:y:2018:i:1:d:10.1007_s40622-018-0179-7

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/40622

DOI: 10.1007/s40622-018-0179-7

Access Statistics for this article

DECISION: Official Journal of the Indian Institute of Management Calcutta is currently edited by Rajesh Babu

More articles in DECISION: Official Journal of the Indian Institute of Management Calcutta from Springer, Indian Institute of Management Calcutta
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().