Why has there been a change in the relative importance of each of the factors explaining the sovereign/corporate bond spreads since the beginning of the subprimes crisis of 2007 ?

Delvenne, Laurent ; Schoonbroodt, Pierre
(2016)

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DelvenneLaurent_39701400PierreSchoonbroodt_37481400_2016.pdf
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DelvenneLaurent_39701400PierreSchoonbroodt_37481400_2016_Annexe.pdf
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Details

Supervisors
Iania, Leonardo ; Colmant, Bruno
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
We have analysed thanks to a VAR and VECM the impacts of the macro-economic factors on the bond spreads. We have made conclusions on different parts of the bond universe and we have forecasted future spreads.