This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

Sovereign governments often discriminate between creditors during debt default episodes. This paper explores how expectations of selective default affect sovereign bond trading and sovereign risk premia based on a historical laboratory: the German external default of the 1930s. We exploit a...

This second of a series of seven papers co-authored by M. Nicolas J. Firzli and David Weeks looks at the notions of private markets – PE, VC, private debt and infrastructure – and the "quest for yields" in a low interest rates environment, which where discussed at two recent global...

Employing a dataset of 1,160 Indian firms, we study the impact of global financing conditions on firms’ borrowings abroad across different phases of global credit. While the abundant credit in the post global financial crisis period allowed firms to take advantage of relatively cheap financing...

Secured and unsecured credit composition differently affects the business cycle. US credit accounts are decomposed considering secured and unsecured contracts for businesses and households and their sample correlations with real activity compared to the conditional evidence from an estimated...

We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices...

A growing literature shows that credit indicators forecast aggregate real outcomes. While the literature has proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings...

I mathematically derive, economically motivate and empirically confirm a new anomaly in credit markets based on the premise that excessive fear of default leads to an undervaluation and overvaluation of credit and duration risk, respectively. To quantify this anomaly, I introduce a new value...

In the past thirty years, defaults on corporate bonds have been substantially higher than the historical average. We show that this increase in credit risk can be largely attributed to an increase in the rate at which new and fast-growing firms displace incumbents (a phenomenon sometimes...

We examine credit market responses to the linguistic tone of disclosures made in 10-Q/K fillings, controlling for the information content conveyed in the reports. Examining windows around quarterly filings, we find that uncertain tone levels are associated with changes in credit default swap...