Economics at your fingertips  

Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada

Nusrat Jahan ()
Additional contact information
Nusrat Jahan: Department of Economics, Carleton Univeristy,

No 22-07, Carleton Economic Papers from Carleton University, Department of Economics

Abstract: How important are macroeconomic factors relative to financial factors in explaining the variation in corporate credit spreads in the Canadian bond market? The answer to this question is of great significance in managing the risk associated with fixed-income securities and also in preventing the negative consequences that widening of spread has on real activity. I find that although the macroeconomic determinants both in their levels and volatilities have significant effects on credit spread, their contribution in explaining the variations in spreads is actually quite small. Much of the variation in spreads are attributed to the unobserved bond-specific heterogeneity, which reaffirms the existence of a - credit spread puzzle. Classification

Pages: 36 pages
Date: 2022-08-07
New Economics Papers: this item is included in nep-ban and nep-fdg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published: Carleton Economics Working Papers

Downloads: (external link)

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:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Carleton Economic Papers from Carleton University, Department of Economics C870 Loeb Building, 1125 Colonel By Drive, Ottawa Ontario, K1S 5B6 Canada.
Bibliographic data for series maintained by Sabrina Robineau ( this e-mail address is bad, please contact ).

Page updated 2023-01-31
Handle: RePEc:car:carecp:22-07