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Credit Spread Changes in the Euro Area - An Empirical Study of the Relationship Between Interest Rates and Credit Spreads in the Euro-denominated Corporate Bond Market


Please use this identifier to cite or link to this item: http://hdl.handle.net/2077/53030

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Title: Credit Spread Changes in the Euro Area - An Empirical Study of the Relationship Between Interest Rates and Credit Spreads in the Euro-denominated Corporate Bond Market
Other Titles: Credit Spread Changes in the Euro Area - An Empirical Study of the Relationship Between Interest Rates and Credit Spreads in the Euro-denominated Corporate Bond Market
Authors: Johansson, Hampus
Rehnberg, Rickard
Issue Date: 7-Jul-2017
Degree: Student essay
Series/Report no.: 201707:71
Uppsats
Abstract: The behaviour of credit spreads is of importance for a wide array of stakeholders. We test the relationship between changes in risk-free interest rates and credit spreads in European bond market by running OLS regressions using weekly European market data for investment grade and non-investment grade bond indices. We collect data from 1999 – 2017 and subsequently separate the time series into three periods in an effort to examine differences in different market settings. The findings strengthen ... more
URI: http://hdl.handle.net/2077/53030
Appears in Collections:Kandidatuppsatser i finansiell ekonomi

 

 

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