Commonality in Credit Spread Changes : Dealer Inventory and Intermediary Distress

Zhiguo He, Paymon Khorrami, Zhaogang Song

Two intermediary-based factors - a broad financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variation of credit spread changes beyond canonical structural factors. A simple model, in which intermediaries facing margin constraints absorb supply of assets from customers, accounts for the documented explanatory power and delivers further implications with empirical support

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Year of publication:	November 2019
Authors:	He, Zhiguo
Other Persons:	Khorrami, Paymon (contributor) ; Song, Zhaogang (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	2019: Cambridge, Mass : National Bureau of Economic Research
Subject:	Zinsstruktur \| Yield curve \| Institutioneller Investor \| Institutional investor \| Kapitalmarkttheorie \| Financial economics \| Versicherung \| Insurance

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Extent:	1 Online-Ressource illustrations (black and white)
Series:	NBER working paper series ; no. w26494
Type of publication:	Book / Working Paper
Language:	English
Notes:	System requirements: Adobe [Acrobat] Reader required for PDF files Mode of access: World Wide Web Hardcopy version available to institutional subscribers
Other identifiers:	10.3386/w26494 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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