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Erscheinungsjahr: 
1999
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 99-027/4
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that result from subtracting independently estimated government and corporate term structures. The obtained spread curves are smooth functions of time to maturity, as opposed to the twisting curves one gets from the traditional method, and are less sensitive to model specifications. To determine the ‘optimal’ model specification, we use a newly developed test statistic that compares spread curves from competing models.
Schlagwörter: 
Term structure estimation
Credit spreads
Corporate bonds
Splines
JEL: 
G12
G13
C13
Dokumentart: 
Working Paper
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