Factors of the Term Structure of Sovereign Yield Spreads

2015 ◽  
Author(s):  
Stefan Trrck
Keyword(s):  
Term Structure ◽  
Yield Spreads

The term structure and callable bond yield spreads

1983 ◽  
Vol 9 (2) ◽  
pp. 57-63 ◽  
Author(s):  
Jess B. Yawitz ◽  
Kevin J. Maloney ◽  
William J. Marshall
Keyword(s):  
Term Structure ◽  
Yield Spreads ◽  
Bond Yield

Factors of the term structure of sovereign yield spreads

2018 ◽  
Vol 81 ◽  
pp. 56-75 ◽  
Author(s):  
Dennis Wellmann ◽  
Stefan Trück
Keyword(s):  
Term Structure ◽  
Yield Spreads

scholarly journals Shape Evolution of the Interest Rate Term Structure

2021 ◽  
Vol 13 (3) ◽  
Author(s):  
Biwei Chen
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Spread ◽  
Shape Evolution ◽  
Curve Shape ◽  
Yield Spreads ◽  
Novel Approach ◽  
Interest Rate Term Structure ◽  
The Interest Rate

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically linked to the recessions in the post-WWII data. In forecasting recessions, the median-short yield spread trumps the long-short spread for horizons up to 17 months ahead and the yield curve shape is nearly impressive as the median-short spread. Overall, the yield curve shape is an informative but more succinct indicator than the spreads in studying the term structure. Key words: Business cycle, recession forecast, U.S. Treasury yield curve, yield spreads.

Determinants of the decreasing term structure of relative yield spreads for taxable and tax-exempt bonds

1995 ◽  
Vol 27 (7) ◽  
pp. 583-590 ◽  
Author(s):  
Lawrence Kryzanowski ◽  
Kuan Xu ◽  
Hua Zhang
Keyword(s):  
Term Structure ◽  
Relative Yield ◽  
Yield Spreads ◽  
Tax Exempt

scholarly journals Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

2016 ◽  
Vol 06 (03) ◽  
pp. 1650012 ◽  
Author(s):  
Song Han ◽  
Hao Zhou
Keyword(s):  
Term Structure ◽  
Significant Relationship ◽  
Firm Heterogeneity ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Macroeconomic Conditions ◽  
Bond Liquidity ◽  
Risk Free Rate ◽  
Investment Grade ◽  
Free Rate

We estimate the non-default component of corporate bond yield spreads and examine its relationship with bond liquidity. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of credit default swaps (CDS) spreads. With swap rate as the risk free rate, the estimated non-default component is generally moderate but statistically significant for AA-, A-, and BBB-rated bonds and increasing in this order. With Treasury rate as the risk free rate, the estimated non-default component is the largest in basis points for BBB-rated bonds but, as a fraction of yield spreads, it is the largest for AAA-rated bonds. Controlling for the unobservable firm heterogeneity, we find a positive and significant relationship between the non-default component and illiquidity for investment-grade bonds but no significant relationship for speculative-grade bonds. We also find that the non-default component comoves with indicators for macroeconomic conditions.

The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure

1995 ◽  
Vol 97 (1) ◽  
pp. 145 ◽  
Author(s):  
Tom Engsted ◽  
Carsten Tanggaard
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Predictive Power ◽  
Yield Spreads

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk
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