Similar Search Results

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

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

Non-financial corporate debt in advanced economies, 2010–17

Almeida, Luiza Antoun de; Tressel, Thierry - 2020

economies between 2010 and 2017. Since 2010, firms have started to rely more on corporate bond markets and have used part of …

Persistent link: https://www.econbiz.de/10012252676

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

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

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

The COVID-19 impact on corporate leverage and financial fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...

Persistent link: https://www.econbiz.de/10012796218

Monetary Transaction Costs and the Term Premium

Espinoza, Raphael A. - 2013

-term liquidity effects, where monetary costs act as transaction costs and the quantity theory of money is verified …

Persistent link: https://www.econbiz.de/10014395261

A macroeconomic approach to the term premium

Kopp, Emanuel; Williams, Peter D. - 2018

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation...

Persistent link: https://www.econbiz.de/10011866493