Exploring Common Factors in the Term Structure of Credit Spreads: The Use of Canonical Correlations

2009 ◽  
Author(s):  
Seung C. Ahn ◽  
Stephan Dieckmann ◽  
Marcos Fabricio Perez
Keyword(s):  
Term Structure ◽  
Common Factors ◽  
Credit Spreads ◽  
Canonical Correlations

Exploring the Common Factors in the Term Structure of Credit Spreads

2008 ◽  
Author(s):  
Seung C. Ahn ◽  
Stephan Dieckmann ◽  
Marcos Fabricio Perez
Keyword(s):  
Term Structure ◽  
Common Factors ◽  
Credit Spreads ◽  
The Common

scholarly journals Common Factors in the Term Structure of Credit Spreads and Predicting the Macroeconomy in Japan

2021 ◽  
Vol 9 (2) ◽  
pp. 23
Author(s):  
Takeshi Kobayashi
Keyword(s):  
Business Cycle ◽  
Term Structure ◽  
Common Factors ◽  
Corporate Bond ◽  
Credit Spread ◽  
Credit Spreads ◽  
Real Economy ◽  
The Business Cycle ◽  
Bond Spreads ◽  
Predictive Content

This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on the entire term structure of the credit spread to predict the business cycle. We extend the dynamic Nelson-Siegel model to allow for both common and firm-specific factors. The results show that the estimated common factors are important drivers of individual credit spreads and have substantial predictive power for future Japanese economic activity. This study contributes to the literature by examining the relationship between firm-based credit spread curves and economic fluctuation and forecasting the business cycle.

Cointegration, Common Factors, and the Term Structure of Yen Offshore Interest Rates

1996 ◽  
Vol 6 (3) ◽  
pp. 69-75 ◽  
Author(s):  
Takato Hiraki ◽  
Noriyoshi Shiraishi ◽  
Nobuya Takezawa
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Common Factors
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