CRIS Current Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishIn this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way.
| Titolo: | The Slope of the Term Structure of Credit Spreads: An Empirical Investigation |
| Autore/i: | BEDENDO M; CATHCART L; EL-JAHEL L |
| Autore/i Unibo: | |
| Anno: | 2007 |
| Rivista: | |
| Abstract: | In this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way. |
| Data stato definitivo: | 2019-11-02T22:15:36Z |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
File in questo prodotto:
Copyright © 2020