Pynnönen, Seppo; Hogan, Warren P.; Batten, Jonathan A. - Institute for International Integration Studies (IIIS), … - 2006
Understanding the long term relationship between the yields of risky and riskless bonds is a critical task for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with...