Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
نویسندگان
چکیده
منابع مشابه
Interpreting movements in high-yield corporate bond market spreads
Credit spreads in the United States widened considerably during 2000, particularly in the high-yield bond market. Even indices of single-A and AA rated bonds widened in the last few months of the year. By contrast, with the exception of telecoms bonds, there was little evidence of widening in UK credit spreads. In this article we explain why US spreads widened, and assess the implications for t...
متن کاملLatent Liquidity and Corporate Bond Yield Spreads
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their riskless benchmarks. One candidate for the unexplained portion of the spread is a premium for the illiquidity in the corporate bond market. We investigate this issue by relating the liquidity of corporate bonds, as measured by their ease of market access, to ...
متن کاملThe Yield Curve as a Leading Indicator: Frequently Asked Questions
broad literature originating in the late 1980s documents the empirical regularity that the slope of the yield curve is a reliable predictor of future real economic activity. Today, there exists a substantial body of evidence from which various useful stylized facts have emerged. This catalogue of some of the salient findings takes the form of answers to frequently asked questions. An extensive ...
متن کاملCounter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market
In this paper, using China’s risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this mark...
متن کاملPersonal Taxes, Endogenous Default, and Corporate Bond Yield Spreads
Full terms and conditions of use:
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2213762