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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis

Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004

This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period … autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …

Persistent link: https://www.econbiz.de/10005662219

Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?

Jiménez, Gabriel; Ongena, Steven; Peydró, José Luis; … - C.E.P.R. Discussion Papers - 2007

We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit...

Persistent link: https://www.econbiz.de/10005661943

Cash Holdings and Credit Risk

Acharya, Viral V; Davydenko, Sergei A.; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2009

Intuition suggests that firms with higher cash holdings are safer and should have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive and higher for lower credit ratings. This puzzling finding can be explained by the precautionary motive for...

Persistent link: https://www.econbiz.de/10004980203

Option-Based Credit Spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014

Theoretically, corporate debt is economically equivalent to safe debt minus a put option on the firm’s assets. We empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the properties of traded corporate bonds. Pseudo bonds...

Persistent link: https://www.econbiz.de/10011145468

Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?

Füss, Roland; Gehrig, Thomas; Rindler, Philipp B - C.E.P.R. Discussion Papers - 2011

distribution of bond spreads almost uniformly. This evidence is consistent with changing risk perceptions as predicted by theories …

Persistent link: https://www.econbiz.de/10009399718

Privatization, Risk-Taking, and the Communist Firm

Demougin, Dominique; Sinn, Hans-Werner - C.E.P.R. Discussion Papers - 1993

This paper studies alternative methods of privatizing a formerly communist firm in the presence of imperfect risk markets. The methods include cash sales, a give-away scheme, and a participation contract where the government retains a sleeping fractional ownership in the firm. It is shown that...

Persistent link: https://www.econbiz.de/10005497803

Aspirations, Well-being, Risk-Aversion and Loss-Aversion

Koedijk, Kees; Pownall, Rachel A J; Statman, Meir - C.E.P.R. Discussion Papers - 2012

Financial well-being is distinct from income. Some people with high incomes suffer low financial well-being, as their incomes fall short of their aspirations. Such people feel propelled to reach their aspirations by taking risk and willing to bear losses. Conversely, some people with low incomes...

Persistent link: https://www.econbiz.de/10011083480

Religion and Innovation

Bénabou, Roland; Ticchi, Davide; Vindigni, Andrea - C.E.P.R. Discussion Papers - 2015

In earlier work (Bénabou, Ticchi and Vindigni 2013) we uncovered a robust negative association between religiosity and patents per capita, holding across countries as well as US states, with and without controls. In this paper we turn to the individual level, examining the relationship between...

Persistent link: https://www.econbiz.de/10011213308

Securities Trading by Banks and Credit Supply: Micro-Evidence

Abbassi, Puriya; Iyer, Rajkamal; Peydró, José Luis; … - C.E.P.R. Discussion Papers - 2015

We analyze securities trading by banks and the associated spillovers to the supply of credit. Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

Persistent link: https://www.econbiz.de/10011196029

Capital Regulation and Tail Risk

Perotti, Enrico C; Ratnovski, Lev; Vlahu, Razvan - C.E.P.R. Discussion Papers - 2011

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an...

Persistent link: https://www.econbiz.de/10009246611