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Identifier to cite or link to this item: https://hdl.handle.net/10086/17374

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Title
Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
Creator
Creator Name
Nakashima, Kiyotaka Nakashima, Kiyotaka
中島, 清貴 中島, 清貴
ナカシマ, キヨタカ ナカシマ, キヨタカ
Affiliation
Affiliation Name
Konan University
Creator Name
Saito, Makoto Saito, Makoto
齊藤, 誠 齊藤, 誠
サイトウ, マコト サイトウ, マコト
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Key Word
credit spreads
corporate bonds
market liquidity
JEL
G12
G13
Abstract
Using secondary market data on corporate bonds issued in Japan between 1997 and 2005, this paper explores the determinants of the credit spread of corporate bond rates over interest swap rates. We find that credit spreads properly reflect financial factors at the firm level, including debt-to-equity ratios, volatility, and maturity, particularly for longer-term bonds. In addition, an economy-wide factor common among bond issues unable to be captured by firm-level factors, plays an important role in determining credit spreads, and these economy-wide effects to a great extent cancel out firm-level factors for some subsample periods. We also identify possible factors responsible for the significant economy-wide effects.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2009-05
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 68
Relation
Related Identifier
URI
  http://gcoe.ier.hit-u.ac.jp/english/index.html
Number of Pages
33
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/17374