Corporate Credit Spreads under Parameter Uncertainty

2009 ◽  
Author(s):  
Arthur G. Korteweg ◽  
Nick Polson
Keyword(s):  
Parameter Uncertainty ◽  
Credit Spreads ◽  
Corporate Credit

Sarbanes-Oxley Act and Corporate Credit Spreads

2009 ◽  
Author(s):  
Ali Nejadmalayeri ◽  
Takeshi Nishikawa ◽  
Ramesh P. Rao
Keyword(s):  
Credit Spreads ◽  
Corporate Credit ◽  
Sarbanes Oxley

Monetary Policy Surprises and Corporate Credit Spreads

2020 ◽  
Author(s):  
Difang Huang ◽  
Xinjie Wang ◽  
Zhaodong Zhong
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Corporate Credit

scholarly journals Macroeconomic and Financial Risks: A Tale of Mean and Volatility

2021 ◽  
Vol 2021 (1326) ◽  
pp. 1-56
Author(s):  
Dario Caldara ◽  
◽  
Chiara Scotti ◽  
Molin Zhong ◽  
◽  
...  
Keyword(s):  
Business Cycle ◽  
Stochastic Volatility ◽  
Conditional Distribution ◽  
Nonlinear Models ◽  
Credit Spreads ◽  
Gdp Growth ◽  
Financial Risks ◽  
Conditional Distributions ◽  
Corporate Credit ◽  
Tail Events

We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using multivariate nonlinear models to understand the determinants of uncertainty and risk.

scholarly journals Anatomy of Corporate Credit Spreads: The Great Recession vs. COVID-19

2020 ◽  
Author(s):  
Miguel Faria e Castro ◽  
Julian Kozlowski ◽  
Mahdi Ebsim
Keyword(s):  
Great Recession ◽  
Credit Spreads ◽  
The Great Recession ◽  
Corporate Credit

Currency dependence of corporate credit spreads

2005 ◽  
Vol 8 (1) ◽  
pp. 1-24 ◽  
Author(s):  
Rainer Jankowitsch ◽  
Stefan Pichler
Keyword(s):  
Credit Spreads ◽  
Corporate Credit
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