The Yields That Bind: Treasury Bill Yields and the Philippine Corporate Bond Yield Spreads (pre-Covid 2012–2019)

• Main Authors: Arce, Maurice, Dorado, Carlos, Pascua, Justine, Robles, Paul, Perez, Junette
• Format: text
• Published: Animo Repository 2024
• Subjects: Philippine corporate bond yields; Treasury bill yields; inflation; pre-COVID; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/ber/vol34/iss1/30; https://animorepository.dlsu.edu.ph/context/ber/article/1029/viewcontent/6_Perez_071524.pdf
• Institution: De La Salle University

The paper’s base reference is Duffee (1998). He examined the inverse relationship between the U.S. Treasury bill yields (TBY) and the corporate bond yield spreads (CBYS). Eight years of historical data on the Philippine CBYS from 2012–2019 and data on TBY were analyzed using OLS regression. To exami...