We provide insights into international bank lending and borrowing, taken from the perspective of banks domiciled in the United Kingdom and the United States. Banks based in these countries are the major recipients and source of international bank lending and borrowing. We also show how these...

In this paper we investigate the short-term credit spread dynamics of quality US corporate bonds, building on the Longstaff and Schwartz (1995) two-factor model. We find that changes in credit spreads usually display a significant negative relationship with changes in both the risk-free short...

The effect of inflation on the credit spreads of corporate bonds is investigated utilising real instead of nominal interest rates in extensions of the models proposed by Longstaff and Schwartz (1995) and Collin-Dufresne et al. (2001). Inflation is a critical, non-default, component incorporated...