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- Bond Spreads
- The term bond spreads or spreads refer to the interest rate differential between two bonds. Mathematically, a bond spread is the simple subtraction of one bond yield from another. Bond spreads are the common way that market participants compare the value of one bond to another, much like price-earnings ratios...
- White papers
Additional Resources
- Corporate Bond Spreads and the Business Cycle
- This paper examines the predictive power of credit spreads from the corporate bond market. The high-yield bond spread and investment-grade spread can explain 68 per cent and 42 per cent of output variations one year ahead, while the term spread based on government debts can explain only 12 per cent...
- White papers
- Rate expectations blow out bond spread.
- Aug 15, 2002 The Australian Financial Review ABIX via COMTEX -- The spread between Australian and US 10-year bond yields increased to its highest level in six years on 15 August 2002. The gap widened to 1.5 percentage points on the back of expectations...
- Research articles 2002-08-15
- Common Determinants of Bond and Stock Market Liquidity : The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flows
- Article discusses a study related to common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. It was found that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes...
- White papers 2001-12-11
- Bond Expert: Tuesday Wrap
- John Jansen submits: Prices of Treasury coupon securities plummeted today though most of the drop occurred in the overseas session as the domestic market had an initial opportunity to respond to the historic actions of the Bush Administration which has commanded a recapitalization of the banking system. The yield...
- External links 2008-10-14
- Now Hear This: The T-Bond Market is Forecasting Higher Inflation
- Wednesday's trading in the U.S. Treasury bond market broadcast an important economic signal -- that investors are building higher inflation into their forecasts. As the Treasury attempts brings to market an estimated $3.25 trillion in bonds during the 2009 fiscal year (ending Sept. 30), rising yields suggest that investors lack...
- Blog posts 2009-05-28
- Utility bankruptcy won't jolt bond insurers.
- SAN FRANCISCO-The bond insurance market faces hundreds of millions of dollars in losses following the largest public utility bankruptcy in U.S. history, but any insurers' payouts will be spread over many years. Analysts agree that the hit to finan SAN FRANCISCO-The bond insurance...
- Research articles 2001-04-16
- Bond Expert: Thursday Outlook
- John Jansen submits: Prices of Treasury coupon securities surged in overnight trading as the gargantuan writedown at AIG AIG, in concert with the travails of Freddie Mac FRE, reminded investors that the financial crisis is still running at full tilt nearly one year after it began with no end...
- External links 2008-08-07
- Bond Expert: Monday Wrap
- John Jansen submits: Prices of Treasury coupon securities retreated from the lofty levels attained in overnight trading and are closing the session with moderate losses. The yield on the 2 year note has jumped 7 basis points to 1.60 percent. The yield on the 5 year note has climbed...
- External links 2008-10-27
- Bond Expert: Wednesday Wrap
- John Jansen submits: Prices of Treasury coupon securities, on balance, registered very modest gains today in featureless trading. The yield on the 2 year note slipped one basis point to 0.88 percent. The yield on the 3 year note fell 3 basis points to 1.06 percent. The yield on...
- External links 2008-12-03
- Stochastic Volatilities and Correlations of Bond Yields
- In this article helps in developing a multi-factor HJM model with separate factors driving the innovations in the yield curve and the stochastic covariance's of bond yields. The model is estimated by maximum likelihood using panel data on swap rates and swaptions. Under the model with four yield factors and...
- White papers 2003-10-01
- Structural Models of Corporate Bond Pricing: An Empirical Analysis
- This paper empirically tests five structural models of corporate bond pricing. It implements the models using a sample of 182 bond prices from firms with simple capital structures during the period 1986-1997. The conventional wisdom is that structural models do not generate spreads as high as those seen in the...
- White papers 2003-04-14
- The Sound and the Fury of Bond Market Vigilantes
- Said Haidar submits: In Hamlet, Shakespeare wrote “Life is but a tale, told by an idiot, full of sound and fury, signifying nothing.” Would that it were so with the recent bond market sell-off. Instead, we see a move away from the flight-to-safety trade but also increasing inflation expectations, un-sustainable...
- External links 2009-06-10
- Corporate Bond Risk And Real Activity: An Empirical Analysis Of Yields Spreads And Their Systematic Components
- This article finds that the yield spread of investment grade bonds relative to treasuries, a proxy of default risk, predicts marginal changes in industrial production in the united states up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread....
- White papers 2001-10-01
- Contract Risks And Credit Spread Determinants In The International Project Bond Market
- International bond markets have become an increasingly important source of long-term capital for infrastructure projects in emerging market economies over the past decade. The authors, in this paper, study the impact of three interlocking contracts on the credit spreads of the project ' s actively traded global bonds, the 25-year...
- White papers 2001-11-01
- Gains In Bank Mergers: Evidence From The Bond Markets
- From the executive summary: ‘The paper elucidates that merging banks bond adjusted returns are positive and significant in pre-merger and announcement months. Also, the acquiring banks credit spread on new debt issues is lower after the merger. Diversification and incremental size attained in the merger are significant determinants of the...
- White papers 2001-09-01
- Bond Expert: Wednesday Outlook
- John Jansen submits: Prices of Treasury coupon securities have registered mixed results thus far in overseas trading as markets have reversed some of the curve steepening manifested yesterday. The yield on the 2 year note has climbed 2 basis points to 2.45 percent. Similarly, the yield on the 5...
- External links 2008-08-13
- Toyota pulling away from competition - except in bond market
- Toyota Motor Co., the world's most valuable auto company, is widening the gap with rivals Volkswagen AG and DaimlerChrysler AG everywhere except the bond market. The extra yield investors require to buy Toyota's 4 percent bond due in 2010 instead of government debt has narrowed 15 percent to...
- Research articles 2005-03-14
- International bond covers four indices.
- The Bank of Ireland has launched an International Guaranteed Equity Bond in conjunction with Guernsey-based Bristol & West International. The three and a half-year fixed term bond offers investors uncapped growth potential from a basket of indices. The fund will invest in an ...
- Research articles 2006-02-27
- Bond Expert: Wednesday Wrap
- John Jansen submits: Prices of Treasury coupon securities posted gains today but the extent of the gains depended on the point on the yield curve at which the security resided. The yield on the 2 year note slipped 6 basis points to close at 1.07 percent. The yield on...
- External links 2008-11-19
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