The relation between Treasury yields and corporate bond yield spreads

Journal of Finance

Volumn 53, Issue 6, 1998, Pages 2225-2241

  Duffee, Gregory R ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0011603540     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00089     Document Type: Article

References (7)

1. Chen, Ren-raw, and Louis Scott, 1993, Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates, Journal of Fixed Income 3, 14-31.
2. Friedman, Benjamin M., and Kenneth N. Kuttner, 1993, Why does the paper-bill spread predict real economic activity?; in James H. Stock and Mark W. Watson, eds.: Business Cycles, Indicators, and Forecasting (University of Chicago Press, Chicago, 111.).
3. Iwanowski, Raymond, and Raxesh Chandra, 1995, How do corporate spread curves move over time?, Working paper, Salomon Brothers.
4. Litterman, Robert, and José Scheinkman, 1991, Common factors affecting bond returns, Journal of Fixed Income 1, 54-61.
5. Longstaff, Francis, and Eduardo Schwartz, 1995, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance 50, 789-820.
6. Nunn, Kenneth P., Jr., Joanne Hill, and Thomas Schneeweis, 1986, Corporate bond price data sources and return/risk measurement, Journal of Financial and Quantitative Analysis 21, 197-208.
7. Warga, Arthur D., 1991, Corporate bond price discrepancies in the dealer and exchange markets, Journal of Fixed Income 1, 7-16.