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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and … equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various … bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the …

Persistent link: https://www.econbiz.de/10014404117

The long-run impact of sovereign yields on corporate yields in emerging markets

Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the …

Persistent link: https://www.econbiz.de/10012612337

Crossing the credit channel : credit spreads and firm heterogeneity

Anderson, Gareth; Cesa-Bianchi, Ambrogio - 2020

Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced...

Persistent link: https://www.econbiz.de/10012485947

Credit Risk Spreads in Local and Foreign Currencies

Wiener, Zvi - 2009

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...

Persistent link: https://www.econbiz.de/10014403081

Understanding Chinese Bond Yields and their Role in Monetary Policy

Porter, Nathan - 2011

interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they …: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …

Persistent link: https://www.econbiz.de/10014398318

German bond yields and debt supply : is there a "bund premium"?

Paret, Anne-Charlotte; Weber, Anke - 2019

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

Persistent link: https://www.econbiz.de/10012154614

Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and their Systematic Components

Ivaschenko, Iryna V. - 2001

This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial...

Persistent link: https://www.econbiz.de/10014400877

Foreign Exchange Risk Premium : Does Fiscal Policy Matter? Evidence From Italian Data

Giorgianni, Lorenzo - 1997

This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be...

Persistent link: https://www.econbiz.de/10014403290

Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N. - 2003

interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …

Persistent link: https://www.econbiz.de/10014404000

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Knot, Klaas H. W. - 1999

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP …

Persistent link: https://www.econbiz.de/10014400703