11.03.2019 Current research work by Prof. Dr. Stolper in the Deutsche Bundesbank Discussion Paper Series

"The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants" has been published with the Deutsche Bundesbank Discussion Paper Series.

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Foto: Markus Farnung

The study "The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants", which documents a completed research project by Prof. Dr. Stolper and Dr. Fischer (Deutsche Bundesbank), has been published with the Deutsche Bundesbank Discussion Paper Series. This project deals with the  relevant question for investors and issuers, but also for financial supervision, which influencing factors determine the prices of corporate bonds. The study finds empirical evidence that, in quiet market phases, corporate bond prices are mainly driven by credit and interest rate risks. However, these two influencing factors lose importance in phases of nervous, volatile markets and (lack of) liquidity comes to the fore as a determinant.