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

Authors

Maurice Arce, De La Salle University, Manila, PhilippinesFollow
Carlos Dorado, De La Salle University, Manila, PhilippinesFollow
Justine Pascua, De La Salle University, Manila, PhilippinesFollow
Paul Robles, De La Salle University, Manila,PhilippinesFollow

JEL Classification System

E3, E5, E6

Abstract

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 examine, if the results hold in the Philippines and given that the bond market in the country differs from the U.S. bond markets, will the results of Duffee (1998) persist? Although the paper focused on providing evidence on one of the most basic, well-established inverse relationships between TBY and inflation to CBYS, the study sets the groundwork and embarks on a solid foundation leading to the development of the Philippine bond market in the years to come.

Recommended Citation

Arce, Maurice; Dorado, Carlos; Pascua, Justine; and Robles, Paul (2024) "The Yields That Bind: Treasury Bill Yields and the Philippine Corporate Bond Yield Spreads (pre-Covid 2012–2019)," DLSU Business & Economics Review: Vol. 34: No. 1, Article 22.
Available at: https://animorepository.dlsu.edu.ph/ber/vol34/iss1/22