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New Measures of Australian Corporate Credit Spreads

Author

Listed:
  • Ivailo Arsov

    (Reserve Bank of Australia)

  • Matthew Brooks

    (Reserve Bank of Australia)

  • Mitch Kosev

    (Reserve Bank of Australia)

Abstract

Australian corporations access bond markets both domestically and offshore. Despite this, there is a lack of publicly available data on bond market conditions faced by non-financial corporations (NFCs). This gap in the data is particularly apparent at longer maturities where the low level of bond issuance, especially in the domestic market, makes it difficult to gauge the long-term credit spreads faced by resident issuers. To address this lack of data, the article presents a method for estimating aggregate credit spreads of Australian NFCs across maturities ranging from 1 to 10 years. The estimation method is simple, transparent and relatively robust in small samples. The Bank will commence publishing the estimated credit spreads monthly from December 2013.

Suggested Citation

  • Ivailo Arsov & Matthew Brooks & Mitch Kosev, 2013. "New Measures of Australian Corporate Credit Spreads," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 15-26, December.
    • Handle: RePEc:rba:rbabul:dec2013-03
    as

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    File URL: https://www.rba.gov.au/publications/bulletin/2013/dec/pdf/bu-1213-3.pdf
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    References listed on IDEAS

    as
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    6. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
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    Cited by:

    1. Österholm, Pär, 2018. "The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs," Finance Research Letters, Elsevier, vol. 24(C), pages 186-192.

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