EconPapers    
Economics at your fingertips  
 

The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs

Pär Österholm ()

Finance Research Letters, 2018, vol. 24, issue C, 186-192

Abstract: In this paper we investigate the relation between treasury yields and corporate bond yield spreads. This is done by estimating VAR models on monthly Australian data from January 2005 to March 2017. Our results suggest -in line with mainstream theoretical models- that a higher risk free rate compresses the corporate bond yield spread. We also find that a higher corporate bond yield spread lowers the three-month treasury bill rate.

Keywords: Vector autoregressions; Credit spreads (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.sciencedirect.com/science/article/pii/S1544612317303306
Full text for ScienceDirect subscribers only

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:eee:finlet:v:24:y:2018:i:c:p:186-192

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-03
Handle: RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192