همبستگی بازارهای اوراق قرضه شرکتی: همبستگی اعتباری بین بازارهای بینالمللی اوراق بهادار و شرکتهای اوراق بهادار کانادا و درون کاناداست

This study investigates the correlation and interdependence between and within the U.S. and Canadian corporate bond markets. The empirical framework adopted allows credit spreads to depend on common systematic risk factors derived from structural models and incorporates dynamic conditional correlations (DCC) between spreads. Results show that there is a surprisingly weak correlation between the two markets in normal times. However, during crises, there is a sudden and strong increase in the correlation between U.S. and Canadian credit spreads. The analysis of credit spread correlation within each market also shows an unusual increase in credit spread correlations between sectors and between risk classes in the U.S. during the 2007–2009 global financial crisis. This increase persists over the post-crisis period. By contrast, in Canada, credit spread correlations between sectors remain remarkably stable over time, suggesting an interdependence of credit spreads within the Canadian market.