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Credit ratings and bank monitoring ability

Nakamura, Leonard I.; Kasper Roszbach. - Federal Reserve Bank of Philadelphia - 2010

In this paper, the authors use credit rating data from two Swedish banks to elicit evidence on banks' loan monitoring ability. They test the banks' ability to forecast credit bureau ratings, and vice versa, and show that bank ratings are able to predict future credit bureau ratings. This is...

Persistent link: https://www.econbiz.de/10008504610

Credit ratings and bank monitoring ability

Nakamura, Leonard I.; Kasper Roszbach. - Federal Reserve Bank of Philadelphia - 2013

In this paper we use credit rating data from two large Swedish banks to elicit evidence on banks’ loan monitoring ability. For these banks, our tests reveal that banks’ credit ratings indeed include valuable private information from monitoring, as theory suggests. However, our tests also...

Persistent link: https://www.econbiz.de/10010661489

The private premium in public bonds

Kovner, Anna; Wei, Chenyang - Federal Reserve Bank of Philadelphia - 2012

This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 … downgraded than are public bonds. They do not have worse secondary market performance or higher CDS spreads nor are they … basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for …

Persistent link: https://www.econbiz.de/10010551330

Maturity, indebtedness, and default risk

Chatterjee, Satyajit; Eyigungor, Burcu - Federal Reserve Bank of Philadelphia - 2009

We present a novel and tractable model of long-term sovereign debt. We make two sets of contributions. First, on the substantive side, using Argentina as a test case we show that unlike one-period debt models, our model of long-term sovereign debt is capable of accounting for the average spread,...

Persistent link: https://www.econbiz.de/10005387504

The choice between bonds and bank loans

Berlin, Mitchell; Loeys, Jan - Federal Reserve Bank of Philadelphia - 1986

Persistent link: https://www.econbiz.de/10005717398

Inflation announcements and financial market reaction: evidence from the long-term bond market

Smirlock, Michael - Federal Reserve Bank of Philadelphia - 1986

Persistent link: https://www.econbiz.de/10005717411

Money, output, and the cyclical volatility of the term structure

Sill, Keith - Federal Reserve Bank of Philadelphia - 1994

Persistent link: https://www.econbiz.de/10005512291