Credit Spread and Aggregate Tobin's Q

This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is not a response feedback from credit spread to the changes in aggregate Tobin's q ratio. The variance decomposition results show that the change in aggregate Tobin's q forecasts about 1.91%, 13.29% and 16.42% at the 2-quarter, 4-quarter and 8-quarter horizons respectively

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Year of publication:	2013
Authors:	Sum, Vichet
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Kreditrisiko \| Credit risk \| Theorie \| Theory \| Tobins Q \| Tobin's Q \| Unternehmensanleihe \| Corporate bond \| Kapitalstruktur \| Capital structure \| Risikoprämie \| Risk premium
Description of contents:	Abstract [papers.ssrn.com]