{"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":"This 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e United States Federal Reserve Board,Gregory R. Duffee\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 02\/06\/2013\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 38\u003cbr\u003e\u003cb\u003eBinding Type:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.19lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.08d\u003cbr\u003e\u003cb\u003eISBN:\u003c\/b\u003e 9781288722303\u003cp\u003e\u003ci\u003eThis title is not returnable\u003c\/i\u003e\u003cbr\u003e\u003c\/p\u003e","brand":"Bibliogov","offers":[{"title":"Paperback","offer_id":45371951448179,"sku":"9781288722303","price":23.77,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0555\/9255\/0515\/files\/img_410b84d1-7b69-4b1c-bfdb-f586cd8e25c6.jpg?v=1787054348","url":"https:\/\/bookstorenmore.com\/products\/finance-and-economics-discussion-series-treasury-yields-and-corporate-bond-yield-spreads-an-empirical-analysis-9781288722303","provider":"Bookstore N More","version":"1.0","type":"link"}