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The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Coal and blood : industrialization and the rise of nationalism in Prussia before 1914

Kersting, Felix - 2017

'", the biggest civil organization at the time, were negatively correlated. Using coal potential as an IV for identification …

Persistent link: https://www.econbiz.de/10011762766

Fickle fossils : economic growth, coal and the European oil invasion, 1900-2015

Fritzsche, Miriam; Wolf, Nikolaus - 2023

analyse the effect of both, coal and oil on economic growth between 1900 and 2015, exploiting variation at the level of … European NUTS2 and NUTS3 regions. We show that the reversal of fortune of coal regions resulted from the second energy … transition. Specifically, an “oil invasion” in the early 1960s turned regional coal abundance from a blessing into a curse. Human …

Persistent link: https://www.econbiz.de/10014487309

Fickle fossils : economic growth, coal and the European oil invasion, 1900-2015

Fritzsche, Miriam; Wolf, Nikolaus - 2022

coal and oil on long-run economic growth, exploiting variation at the level of European NUTS-2 and NUTS-3 regions over the … last century. We show that an "oil invasion" in the early 1960s turned regional coal abundance from a blessing into a curse … key mechanism behind this reversal of fortune. Not only did former coal regions fail to accumulate sufficient levels of …

Persistent link: https://www.econbiz.de/10014088348

Western Canada's coal industry : status and potential

Dyack, Brenda J. - 1985

Persistent link: https://www.econbiz.de/10003528254

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship and the liquidity management of funds in the presence of...

Persistent link: https://www.econbiz.de/10011995042

Decomposition of country-specific corporate bond spreads

Dötz, Niko - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...

Persistent link: https://www.econbiz.de/10010458538

Liquidity in the German corporate bond market : has the CSPP made a difference?

Boneva, Lena; Islami, Mevlud; Schlepper, Kathi - 2021

The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market, thus raising concerns about unintended...

Persistent link: https://www.econbiz.de/10012489578

The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants

Fischer, Henning; Stolper, Oscar - 2019

This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of...

Persistent link: https://www.econbiz.de/10011979160

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

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