The total volume of nonfinancial commercial paper outstanding peaked in the fall of 2000 and has declined rapidly ever since. By September 2002, the market had shrunk more than 50 percent. Relative to historical patterns, both the magnitude and the timing of the decline are unusual. The decline is the largest on record, and the market started to shrink before the recent recession began. In the ...

Abstract What drives short-term credit spreads: risk, liquidity or both? We investigate this issue using the structural approach to risk modeling and a novel data set of secondary market transaction prices for Chinese commercial papers (CPs). In particular, we propose test model with jump exogenous illiquidity under which predicted yield spreads can be decomposed into component component. find ...