Determinants of credit spreads: an empirical analysis for the european corporate bond market
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main [u.a.]
Lang
2011
|
| Schriftenreihe: | Corporate Finance and Governance
6 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 137 S. zahlr. Tab. u. Graf. 210 mm x 148 mm |
| ISBN: | 9783631606049 |
Internformat
MARC
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| 245 | 1 | 0 | |a Determinants of credit spreads |b an empirical analysis for the european corporate bond market |c Arne Wilkes |
| 264 | 1 | |a Frankfurt am Main [u.a.] |b Lang |c 2011 | |
| 300 | |a 137 S. |b zahlr. Tab. u. Graf. |c 210 mm x 148 mm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Corporate Finance and Governance |v 6 | |
| 502 | |a Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2010 | ||
| 650 | 0 | 7 | |a Finanzkrise |0 (DE-588)7635855-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Spread |0 (DE-588)4265331-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Industrieobligation |0 (DE-588)4161620-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikoprämie |0 (DE-588)4178227-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ausfallrisiko |0 (DE-588)4205942-2 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Industrieobligation |0 (DE-588)4161620-0 |D s |
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| 689 | 0 | 4 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | 5 | |a Finanzkrise |0 (DE-588)7635855-0 |D s |
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| 830 | 0 | |a Corporate Finance and Governance |v 6 |w (DE-604)BV036435593 |9 6 | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-024436755 | ||
Datensatz im Suchindex
| _version_ | 1804148418650570752 |
|---|---|
| adam_text | IMAGE 1
CONTENT OVERVIEW
LIST OF FIGURES 13
LIST OF TABLES 15
LIST OF ABBREVIATIONS 17
1 INTRODUCTION 19
2 STUDY 1 : ARE EUROPEAN CORPORATE BOND MARKETS INTEGRATED? A MACRO-
FINANCE TERM STRUCTURE MODEL APPROACH 27
3 STUDY 2: HAS LIQUIDITY RISK FOR BONDS INCREASED DURING THE FINANCIAL
CRISIS? A STUDY FOR THE EUROPEAN CORPORATE BOND MARKET 67
4 STUDY 3: THE SHORT AND LONG-TERM DETERMINANTS OF CREDIT SPREADS - AN
ANALYSIS FOR THE EUROPEAN CORPORATE BOND MARKET 99
5 CONCLUSION 127
REFERENCES 131
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1013963377
DIGITALISIERT DURCH
IMAGE 2
TABLE OF CONTENTS
LIST OF FIGURES 13
LIST OF TABLES 15
LIST OF ABBREVIATIONS 17
1 INTRODUCTION 19
1.1 MOTIVATION AND OBJECTIVES 19
1.2 DEFINITION AND SCOPE 22
1.3 COURSE OF ANALYSIS 24
2 STUDY 1 : ARE EUROPEAN CORPORATE BOND MARKETS INTEGRATED? A MACRO-
FINANCE TERM STRUCTURE MODEL APPROACH 27
2.1 INTRODUCTION 27
2.2 AN AFFINE TERM STRUCTURE MODEL 29
2.2.1 SHORT RATE DYNAMICS 30
2.2.2 DIFFUSIONS OF STATE VARIABLES 31
2.2.3 BOND PRICING 32
2.2.4 STATE-SPACE SYSTEM 35
2.3 DATA 37
2.3.1 RISK-FREE YIELDS 37
2.3.2 CREDIT SPREADS 39
2.3.3 MACROECONOMIC VARIABLES 43
2.4 RESEARCH STRATEGY AND ESTIMATION RESULTS 45
2.4.1 INTERPRETATION OF LATENT FACTORS 51
2.4.2 IMPULSE RESPONSES FROM SHOCKS TO STATE FACTORS 52 2.4.3 VARIANCE
DECOMPOSITIONS 61
2.5 CONCLUSION 65
3 STUDY 2: HAS LIQUIDITY RISK FOR BONDS INCREASED DURING THE FINANCIAL
CRISIS? A STUDY FOR THE EUROPEAN CORPORATE BOND MARKET 67 3.1
INTRODUCTION 67
3.2 THEORETICAL BACKGROUND AND RELATED LITERATURE 68
11
IMAGE 3
3.2.1 PRICING OF DEFAULTABLE BONDS 68
3.2.2 LIQUIDITY AS DRIVER FOR BOND PRICES AND CREDIT SPREADS 70 3.3 DATA
73
3.3.1 CORPORATE BOND SAMPLE 73
3.3.2 CREDIT SPREADS 75
3.3.3 LIQIDITY MEASURES 76
3.3.4 ADDITIONAL CONTROL VARIABLES 78
3.4 EMPIRICAL SPECIFICATION AND ESTIMATION RESULTS 80
3.4.1 BASIS REGRESSION AND OVERALL IMPACT OF LIQUIDITY 80 3.4.2
STRUCTURAL BREAK ANALYSIS 84
3.4.3 SECTOR- AND RATING-SPECIFIC RESULTS 91
3.4.4 SUMMARY OF EMPIRICAL ANALYSES 97
3.5 CONCLUSION 97
4 STUDY 3: THE SHORT AND LONG-TERM DETERMINANTS OF CREDIT SPREADS - AN
ANALYSIS FOR THE EUROPEAN CORPORATE BOND MARKET 99
4.1 INTRODUCTION 99
4.2 THEORETICAL BACKGROUND AND RELATED LITERATURE 101
4.2.1 DETERMINANTS OF CREDIT SPREADS 101
4.2.2 COINTEGRATION ANALYSES OF CREDIT SPREADS 102
4.3 COINTEGRATION TESTS 103
4.4 DATA 107
4.5 EMPIRICAL RESULTS OF CREDIT SPREAD DYNAMICS 110
4.5.1 RESULTS OF JOHANSEN COINTEGRATION TEST 114
4.5.2 RESULTS OF ARDL COINTEGRATION TEST 118
4.5.3 DEVIATIONS OF CREDIT SPREADS FROM EQUILIBRIUM 123 4.6 CONCLUSION
124
5 CONCLUSION 127
REFERENCES 131
12
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| any_adam_object | 1 |
| author | Wilkes, Arne |
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| author_role | aut |
| author_sort | Wilkes, Arne |
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| building | Verbundindex |
| bvnumber | BV039585546 |
| classification_rvk | QK 620 |
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| dewey-full | 332.63234094 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63234094 |
| dewey-search | 332.63234094 |
| dewey-sort | 3332.63234094 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV039585546 |
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| indexdate | 2024-07-10T00:06:49Z |
| institution | BVB |
| isbn | 9783631606049 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024436755 |
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| physical | 137 S. zahlr. Tab. u. Graf. 210 mm x 148 mm |
| publishDate | 2011 |
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| series | Corporate Finance and Governance |
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| spelling | Wilkes, Arne Verfasser (DE-588)1015649831 aut Determinants of credit spreads an empirical analysis for the european corporate bond market Arne Wilkes Frankfurt am Main [u.a.] Lang 2011 137 S. zahlr. Tab. u. Graf. 210 mm x 148 mm txt rdacontent n rdamedia nc rdacarrier Corporate Finance and Governance 6 Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2010 Finanzkrise (DE-588)7635855-0 gnd rswk-swf Spread (DE-588)4265331-9 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Industrieobligation (DE-588)4161620-0 gnd rswk-swf Risikoprämie (DE-588)4178227-6 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Industrieobligation (DE-588)4161620-0 s Spread (DE-588)4265331-9 s Ausfallrisiko (DE-588)4205942-2 s Risikoprämie (DE-588)4178227-6 s Volatilität (DE-588)4268390-7 s Finanzkrise (DE-588)7635855-0 s DE-604 Corporate Finance and Governance 6 (DE-604)BV036435593 6 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024436755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wilkes, Arne Determinants of credit spreads an empirical analysis for the european corporate bond market Corporate Finance and Governance Finanzkrise (DE-588)7635855-0 gnd Spread (DE-588)4265331-9 gnd Volatilität (DE-588)4268390-7 gnd Industrieobligation (DE-588)4161620-0 gnd Risikoprämie (DE-588)4178227-6 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| subject_GND | (DE-588)7635855-0 (DE-588)4265331-9 (DE-588)4268390-7 (DE-588)4161620-0 (DE-588)4178227-6 (DE-588)4205942-2 (DE-588)4113937-9 |
| title | Determinants of credit spreads an empirical analysis for the european corporate bond market |
| title_auth | Determinants of credit spreads an empirical analysis for the european corporate bond market |
| title_exact_search | Determinants of credit spreads an empirical analysis for the european corporate bond market |
| title_full | Determinants of credit spreads an empirical analysis for the european corporate bond market Arne Wilkes |
| title_fullStr | Determinants of credit spreads an empirical analysis for the european corporate bond market Arne Wilkes |
| title_full_unstemmed | Determinants of credit spreads an empirical analysis for the european corporate bond market Arne Wilkes |
| title_short | Determinants of credit spreads |
| title_sort | determinants of credit spreads an empirical analysis for the european corporate bond market |
| title_sub | an empirical analysis for the european corporate bond market |
| topic | Finanzkrise (DE-588)7635855-0 gnd Spread (DE-588)4265331-9 gnd Volatilität (DE-588)4268390-7 gnd Industrieobligation (DE-588)4161620-0 gnd Risikoprämie (DE-588)4178227-6 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| topic_facet | Finanzkrise Spread Volatilität Industrieobligation Risikoprämie Ausfallrisiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024436755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV036435593 |
| work_keys_str_mv | AT wilkesarne determinantsofcreditspreadsanempiricalanalysisfortheeuropeancorporatebondmarket |