The Determinants of Thailand Bond Yield Spreads
10 Pages Posted: 29 Aug 2012
Date Written: August 27, 2012
Abstract
Yield spreads on Thai bonds are analysed to assist in bond investment decisions. Higher spreads logically indicate higher risks. To study the determinants of yield spreads, the variables are divided into four groups; bond characteristics, issuer performance microeconomic and macroeconomic factors. The 6,252 observations are collected from September 2006 to December 2010. Empirical results from a panel fixed effects regression model indicates significant factors as time to bond rating, time to maturity, and coupon rate. Moreover, the Market Value Added (MVA) and Economic value added (EVA) which are used for performance measurement of issuers, are also significant. In addition, volatility of bond market and inflation rate are also significant determinants of yield spreads.
Keywords: yield spread, bonds, panel data
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