{"product_id":"finance-and-economics-discussion-series-treasury-yields-and-corporate-bond-yield-spreads-an-empirical-analysis-9781288722303","title":"Finance and Economics Discussion Series: Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis","description":"\u003cp\u003e • Author(s): United States Federal Reserve Board | Gregory R. Duffee\u003cbr\u003e • Publisher: Bibliogov\u003cbr\u003e • Publisher Imprint: Bibliogov\u003cbr\u003e • BISAC: General\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":"Bibliogov","offers":[{"title":"Paperback","offer_id":47598177910935,"sku":"9781288722303","price":1434.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9781288722303.webp?v=1774999944","url":"https:\/\/atlanticbooks.com\/products\/finance-and-economics-discussion-series-treasury-yields-and-corporate-bond-yield-spreads-an-empirical-analysis-9781288722303","provider":"Atlantic Books","version":"1.0","type":"link"}