FACTORS AFFECTING CREDIT SPREAD IN INDIAN DEBT MARKET

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Praveen Gupta, et. al.

Abstract

This paper shows that how Macro risk factors affect the credit spread in the Indian debt market. Credit spread is the difference between government bonds and corporate bonds of the same maturity. Various factors impact the spread directly and indirectly. The main focus of this paper to determine the relationship between these factors and find out which factors are explaining credit spread. This paper determines the significance linear dependency of credit spread on various factors through regression analysis. These factors are the market risk factors such as Inflation, GDP growth, and liquidity factors like the Repo rate. This paper will show that whether we are accepting the null hypothesis which states that these factors affect the credit spread or reject the hypothesis of no impact of variables on credit spread

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