{"product_id":"finance-and-economics-discussion-series-treasury-yields-and-corporate-bond-yield-spreads-an-empirical-analysis-1288722303","title":"Finance and Economics Discussion Series: Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis","description":"\u003cp\u003e\u003cstrong\u003eISBN:\u003c\/strong\u003e 1288722303\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eAuthor:\u003c\/strong\u003e Duffee, Gregory R\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eCondition:\u003c\/strong\u003e New\u003c\/p\u003e\u003cp\u003eThis paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are ``refreshed'' indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.\u003c\/p\u003e","brand":"Mia Karts","offers":[{"title":"Default Title","offer_id":51961403506976,"sku":"NEW1288722303","price":31.62,"currency_code":"USD","in_stock":true}],"url":"https:\/\/miakarts.com\/products\/finance-and-economics-discussion-series-treasury-yields-and-corporate-bond-yield-spreads-an-empirical-analysis-1288722303","provider":"Miakarts Books","version":"1.0","type":"link"}