New Measures of Australian Corporate Credit Spreads

Ivailo Arsov, Matthew Brooks and Mitch Kosev
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Ivailo Arsov: Reserve Bank of Australia
Matthew Brooks: Reserve Bank of Australia
Mitch Kosev: Reserve Bank of Australia

RBA Bulletin (Print copy discontinued), 2013, 15-26

Abstract: Australian corporations access bond markets both domestically and offshore. Despite this, there is a lack of publicly available data on bond market conditions faced by non-financial corporations (NFCs). This gap in the data is particularly apparent at longer maturities where the low level of bond issuance, especially in the domestic market, makes it difficult to gauge the long-term credit spreads faced by resident issuers. To address this lack of data, the article presents a method for estimating aggregate credit spreads of Australian NFCs across maturities ranging from 1 to 10 years. The estimation method is simple, transparent and relatively robust in small samples. The Bank will commence publishing the estimated credit spreads monthly from December 2013.

Keywords: Australia; bond; credit spread; Gaussian kernel; Non-financial Corporation (search for similar items in EconPapers)
Date: 2013
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