Testing the Elasticity of Corporate Yield Spreads
检验了利率与公司债利差之间的负相关关系，在控制可赎回性和税收因素后，发现加拿大债券中两者相关性微弱，支持简化型违约风险模型。
Abstract What drives the compensation demanded by investors in risky bonds? Longstaff and Schwartz (1995) predict that one key factor is the time-varying negative correlation between interest rates and the yield spreads on corporate bonds. However, the effects of callability and taxes also need to be considered in empirical analyses. Canadian bonds have no tax effects, yet, after controlling for callability, the correlation between riskless interest rates and corporate bond spreads remains negligible. Our results provide support for reduced-form models that explicitly define a default hazard process and untie the relation between the firm’s asset value and default probability.