A Pure Test for the Elasticity of Yield Spreads



Table 1

Summary Statistics for Yield Spreads in SCM Long-Term Corporate Bond Indices for the

August 1976 to July 2001 Period

The yield spread is the difference between the yield on a long-term index and the yield on the
constant maturity, long-term Government of Canada index. The relative spread is the ratio of
the yield on a long-term index to the yield on the constant maturity, long-term Government of
Canada index. Data for the AAA indices are available only until March 1993.

No. of
______________Observations

Mean of      Std. Dev. Of     Mean of      Std. Dev. Of

Credit Spread Credit Spread Relative Spread Relative Spread

AAA         200

0.5761          0.3050          1.0559         0.0331

AA           300

0.6350         0.3184         1.0716         0.0434

A             300

0.8612         0.3533          1.0980         0.0548

BBB          300

1.5359         0.7916          1.1842         0.1266

35



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