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dc.contributor.authorDe Lange, Petter Eilif
dc.contributor.authorAamo, Per Egil
dc.contributor.authorWestgaard, Sjur
dc.date.accessioned2020-04-16T08:28:10Z
dc.date.available2020-04-16T08:28:10Z
dc.date.created2018-06-26T13:45:43Z
dc.date.issued2018
dc.identifier.citationBeta. 2018, 32 (1), 59-84.en_US
dc.identifier.issn0801-3322
dc.identifier.urihttps://hdl.handle.net/11250/2651241
dc.description.abstractIn this paper, we examine the Norwegian financial bond market, i.e. the market for bonds issued by Norwegian banks. We describe the market by characterizing the market participants in the different securities on both the supply side and the demand side. The main contribution of the paper is in analyzing the price formation processes, and identifying underlying drivers of spreads on senior and subordinated bank bonds. We examine relations between explanatory variables and bond spreads at various quantiles of the distribution of the dependent variable, using quantile regression. We find that spreads on senior bank bonds are affected by equity volatility and inflation, whereas spreads on subordinated bonds are affected by equity volatility, inflation and the yield curve slope. Being able to fully explain the entire distribution of credit spreads, we find that relations between the dependent and explanatory variables are stronger at the tails of the distributions of the dependent variables than closer to the median.en_US
dc.language.isoengen_US
dc.publisherUniversitetsforlageten_US
dc.titleThe Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreadsen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionacceptedVersionen_US
dc.source.pagenumber59-84en_US
dc.source.volume32en_US
dc.source.journalBetaen_US
dc.source.issue1en_US
dc.identifier.doi10.18261/issn.1504-3134-2018-01-04
dc.identifier.cristin1594007
dc.description.localcode© Universitetsforlaget 2018. This is the authors' accepted and refereed manuscript to the article. The final publication is available at https://doi.org/DOI: 10.18261/issn.1504-3134-2018-01-04en_US
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