Credit spreads on government bonds

Kamhon Kan ()

Applied Financial Economics, 1998, vol. 8, issue 3, 301-313

Abstract: The paper considers the estimation of credit spreads for government bonds relative to supranational bonds. Two approaches are used for the estimation, namely, the hedonic regression method and the yield curve estimation method. The results reveal that there exists a substantial yield spread associated with Italian government bonds relative to bond yields of some supranational organizations. For bonds issued by the governments of Germany, France and the UK, the credit spreads are virtually zero relative to supranational bonds.

Date: 1998
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DOI: 10.1080/096031098333050

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