intTypePromotion=3

Analysis of the pro-cyclical behavior of credit spread in Chinese bond market

Chia sẻ: Cothumenhmong4 Cothumenhmong4 | Ngày: | Loại File: PDF | Số trang:20

0
4
lượt xem
0
download

Analysis of the pro-cyclical behavior of credit spread in Chinese bond market

Mô tả tài liệu
  Download Vui lòng tải xuống để xem tài liệu đầy đủ

This paper studies the relationship between credit spread and economic cycle in China. Using secondary market transaction data in the Chinese inter-bank bond market, paper finds that credit spread behaves pro-cyclically with economy growth, which is counter to asset pricing theory and empirical findings from developed bond markets. This relationship illustrates that pricing efficiency in Chinese bond market is very low.

Chủ đề:
Lưu

Nội dung Text: Analysis of the pro-cyclical behavior of credit spread in Chinese bond market

CÓ THỂ BẠN MUỐN DOWNLOAD

 

Đồng bộ tài khoản