CREDIT QUALITY SPREADS, BOND MARKET EFFICIENCY AND FINANCIAL FRAGILITY
作者： E. P. DAVIS
DOI: 10.1111/J.1467-9957.1992.TB01459.X
关键词:
摘要: The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such relationship may be distorted by variations market segmentation or liquidity. econometric results show deterioration performance over time, which related to changes liquidity and segmentation. These imply spreads not useful indicator inaccurately priced domestic markets. Copyright 1992 Blackwell Publishers Ltd Victoria University Manchester
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