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Article Dans Une Revue International Journal of Business Année : 2009

Relations between Corporate Credit Spreads,
Treasury Yields and the Equity Market

Anthony Miloudi
  • Fonction : Auteur

Résumé

This paper examines complex relations existing between corporate credit spread indices
and the Treasury and Equity markets. A cointegration analysis reveals that a long run
relation exists and that some of these connections are credit sensitive. Mainly, it
appears that the equilibrium elasticity of credit spread indices to the stock market is a
function of the credit risk. Modelling further credit spread dynamics, we find that daily
rebalancing of credit portfolios appears justified but the ECM specification suggests
that the one-day lagged deviation from the equilibrium relationship has only a limited
effect. We finally highlight and discuss the lead-lag structure of markets and the
associated causal transmission patterns.
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Dates et versions

halshs-00391567 , version 1 (04-06-2009)

Identifiants

  • HAL Id : halshs-00391567 , version 1

Citer

Anthony Miloudi, Franck Moraux. Relations between Corporate Credit Spreads,
Treasury Yields and the Equity Market. International Journal of Business, 2009, 14 (2), pp.105-122. ⟨halshs-00391567⟩
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