scholarly journals Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

2014 ◽  
Author(s):  
Hui Chen ◽  
Rui Cui ◽  
Zhiguo He ◽  
Konstantin Milbradt
Keyword(s):  
Business Cycle ◽  
Corporate Bonds ◽  
Default Risks ◽  
The Business Cycle

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

2017 ◽  
Vol 31 (3) ◽  
pp. 852-897 ◽  
Author(s):  
Hui Chen ◽  
Rui Cui ◽  
Zhiguo He ◽  
Konstantin Milbradt
Keyword(s):  
Business Cycle ◽  
Corporate Bonds ◽  
Default Risks ◽  
The Business Cycle

scholarly journals Sovereign and private default risks over the business cycle

2020 ◽  
Vol 123 ◽  
pp. 103293 ◽  
Author(s):  
Leo Kaas ◽  
Jan Mellert ◽  
Almuth Scholl
Keyword(s):  
Business Cycle ◽  
Default Risks ◽  
The Business Cycle

scholarly journals Modeling Municipal Yields With (and Without) Bond Insurance

2019 ◽  
Vol 65 (8) ◽  
pp. 3694-3713 ◽  
Author(s):  
Albert Lee Chun ◽  
Ethan Namvar ◽  
Xiaoxia Ye ◽  
Fan Yu
Keyword(s):  
Dominant Role ◽  
Corporate Bonds ◽  
Credit Default Swap ◽  
Municipal Bond ◽  
Estimated Parameters ◽  
Dramatic Decline ◽  
Credit Default ◽  
Bond Insurance ◽  
Default Risks ◽  
The Business Cycle

We develop an intensity-based model of municipal yields, making simultaneous use of the credit default swap premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the bond insurers from July 2007 to June 2008, and decompose the municipal yield spread based on the estimated parameters. The decomposition reveals a dominant role of the liquidity component as well as interactions between liquidity and default similar to those modeled by Chen et al. [Chen H, Cui R, He Z, Milbradt K (2018) Quantifying liquidity and default risks of corporate bonds over the business cycle. Rev. Financial Stud. 31(3):852–897.] for corporate bonds. Toward the end of the sample period, our model also reproduces the “yield inversion” phenomenon documented in the literature. This paper was accepted by Neng Wang, finance.

Stock Returns and the Business Cycle

CFA Digest ◽  
2005 ◽  
Vol 35 (2) ◽  
pp. 42-43
Author(s):  
Daniel B. Cashion
Keyword(s):  
Business Cycle ◽  
Stock Returns ◽  
The Business Cycle

EXPANSIONS AND RECESSIONS IN THE MEXICAN STATES: A CLASSICAL BUSINESS CYCLES APPROACH

2017 ◽  
Vol 3 (5) ◽  
pp. 32
Author(s):  
Pablo Mejía-Reyes
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Monthly Basis ◽  
Production Index ◽  
Clear Cut ◽  
Output Measure ◽  
Central Regions ◽  
The Business Cycle ◽  
National Business ◽  
Cycle Indicator

This paper aims to document expansions and recessions characteristics for 17 states of Mexico over the period 1993-2006 by using a classical business cycle approach. We use the manufacturing production index for each state as the business cycle indicator since it is the only output measure available on a monthly basis. According to this approach, we analyse asymmetries in mean, volatility and duration as well as synchronisation over the business cycle regimes (expansions and recessions) for each case. Our results indicate that recessions are less persistent and more volatile (in general) than expansions in most Mexican states; yet, there is no clear cut evidence on mean asymmetries. In turn, there seems to be strong links between the business cycle regimes within the Northern and Central regions of the country and between states with similar industrialisation patterns, although it is difficult to claim that a national business cycle exists.

Sign in / Sign up

Export Citation Format

Share Document