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...

We investigate the yield spread between Thai Government bonds issued in the US domestic market and US Treasury bonds to determine the long-term equilibrium dynamics and the extent that interest rate and asset factors affect changes in credit spreads. The results suggest that the long-term...