Spillover effects across credit spreads in Korean bond market

Title
Spillover effects across credit spreads in Korean bond market
Authors
이항용
Keywords
spillover effect; credit spread; generalized forecast error variance decomposition
Issue Date
2015-05
Publisher
한양대학교 경제연구소/아태경제학회
Citation
Journal of Economic Research (JER), v. 20, NO 1, Page. 21-38
Abstract
Following Diebold and Yilmaz (2009, 2012) with generalized forecast error variance decompositions, we measure spillover effects across the credit spreads of different bond ratings in Korea. The estimation results suggest that approximately 35 percent of the fluctuations in credit spreads are explained by spillover effects. We also find asymmetry in the spillover effects: a shock to a credit spread tends to spillover more strongly into lower-rated spreads than into higher rated spreads. Rolling regression and sub-sample results reveal that spillover effects are stronger during the period of financial crisis.
URI
http://kiss.kstudy.com/journal/thesis_name.asp?tname=kiss2002&key=3327296http://hdl.handle.net/20.500.11754/24379
ISSN
1226-4261
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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