한국 회사채시장의 신용스프레드의 지속성

초록

We examine the persistence of credit spreads defined by the difference between yields on bonds of one notch difference in credit ratings in Korean corporate bond market. We find longer half-lives for credit spreads between lowe-rated bonds from both linear and nonlinear-nonparametric estimation. The negative relationship between persistence and credit ratings implies a slower adjustment toward equilibrium for lower-rated spread, Domowitz and El-Gamal(2001) test results for ergodicity and mixing also show that the credit spreads of lower-rated credit spread may not exhibit mean reverting property.

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