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首页> 外文期刊>Journal of banking & finance >Determinants Of Yield Spread Dynamics: Euro Versus Us Dollar Corporate Bonds
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Determinants Of Yield Spread Dynamics: Euro Versus Us Dollar Corporate Bonds

机译：收益率利差动态的决定因素：欧元与美元公司债券

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摘要

This paper presents a systematic comparison between the determinants of euro and US dollar yield spread dynamics. The results show that US dollar yield spreads are significantly more affected by changes in the level and the slope of the default-free term structure and the stock market return and volatility. Surprisingly, euro yield spreads are strongly affected by the US (and not the euro) level and slope. This confirms the dominance of US interest rates in the corporate bond markets. Interestingly, I find that liquidity risk is higher for US dollar corporate bonds than euro corporate bonds. For both regions, the effect of changes in the bid-ask spread is mainly significant during periods of high liquidity risk. Finally, the results indicate that the credit cycle as measured by the region-specific default probability significantly increases US yield spreads. This is not the case for euro yield spreads.
机译：本文对欧元和美元收益率利差动态的决定因素进行了系统的比较。结果表明，美元收益率利差受无违约期限结构的水平和斜率以及股市收益和波动性的影响更大。令人惊讶的是，欧元收益率差价受美国（而非欧元）水平和斜率的强烈影响。这证实了美国利率在公司债券市场上的主导地位。有趣的是，我发现美元公司债券的流动性风险高于欧元公司债券。对于这两个地区，在高流动性风险期间，买卖差价变化的影响主要是很大的。最后，结果表明，按地区特定违约概率衡量的信贷周期显着增加了美国收益率利差。欧元收益率差并非如此。

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