Recent theoretical models including the closed-form valuation model of Longstaff and Schwartz (1995) predict that credit spreads are driven by both an asset and interest rate factor. In empirical studies the credit spread may be expressed as either the difference between, or ratio of, the risky...

Many asset pricing models require an annualised risk coefficient which is determined by the linear rescaling of the variance from other time intervals. However, this approach may not be appropriate for dependent time series. This paper investigates the scaling relationships for daily credit...

This study investigates the yield spread between Thai Government bonds issued in the US domestic market (quot;yankeequot; bonds) and US Treasury bonds to determine the long-term equilibrium dynamics and the factors that affect changes in credit spreads. The sample period investigated was from 5...

Analysis of flow of funds data provides evidence of gradual disintermediation in Japan's financial system, but the major channel for the allocation of domestic savings to productive assets remains bank intermediated lending. Overall, the Japanese financial system is still bank dominated, with...

The recent financial crises in Asia and Russia have shown that emerging European economies, due to their strong dependence on foreign capital, are highly vulnerable to the excessive volatility of international capital flows. Those economies that pursued sound macroeconomic policies, including...

Asset returns conforming to a Gaussian random walk are characterised by the temporal independence of the moments of the distribution. Employing currency returns, this note demonstrates the conditions that are necessary for risk to be estimated in this manner

Traditional theories of credit spread behaviour predict that changes in the risk-free interest rate and asset factors are negatively correlated with changes in credit spreads on risky bonds. This study investigates this proposition in the Australian context by investigating the spread between...

Using a daily time series from 1983 to 2005 of spot and forward USD/Yen prices and the equivalent maturity short term US and Japanese interest rates, we investigate the sensitivity over time of the difference between actual prices in forward markets and those calculated based upon covered...

This study contrasts the development of the Republic of Korea's market for won-denominated foreign bonds (Arirang) with similar markets in the Asia-Pacific region. It discusses the problems, concerns, and key issues related to the development of this market within the broader context of...

We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to December 2005. Apart from investigating the now familiar GARCH properties we also utilize a rarely used measure of...