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Crossing the credit channel : credit spreads and firm heterogeneity
Anderson, Gareth; Cesa-Bianchi, Ambrogio - 2020
Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced...
Persistent link: https://www.econbiz.de/10012485947
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Japan's Distressed Debt Market
Ohashi, Kazunari - 2004
Sizable risk capital from outside may be necessary to accelerate Japan''s corporate restructuring to replace the stock of impaired bank loans. To attract risk capital, impaired loans must find market-clearing prices. However, the asymmetry in the bid-ask prices faced by banks and distressed-debt...
Persistent link: https://www.econbiz.de/10014401302
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Household deleveraging and saving rates : a cross-country analysis
Bouis, Romain - 2021
Historically high household debt in several economies is calling for a deleveraging, but according to some economists …, this paper finds evidence of a negative relationship between changes of household debt-to-income ratios and saving rates … suggest that the economic cost associated with household deleveraging may be overestimated and motivate a deleveraging via …
Persistent link: https://www.econbiz.de/10012796301
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Household debt, consumption, and monetary policy in Australia
Loukoianova, Elena; Wong, Yu Ching; Hussiada, Ioana - 2019
This paper discusses the evolution of the household debt in Australia and finds that while higher-income and higher … depending on the level of household debt. The results corroborate other work that households' response to monetary policy shocks …
Persistent link: https://www.econbiz.de/10012019787
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East Asia in the Aftermath : Was there a Crunch?
Ghosh, Atish R. - 1999
This paper uses a disequilibrium framework to investigate a possible credit crunch in the East Asian crisis countries (Indonesia, Korea, and Thailand) during 1997-98. It defines a credit crunch as a situation in which interest rates do not equilibrate supply and demand for credit and the...
Persistent link: https://www.econbiz.de/10014403426
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Credit reversals
Vázquez, Francisco - 2021
This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity-credit reversals. Using data for 179 countries during 1960-2017, the paper finds that reversals are a relatively common phenomenon--on average, they occur every five years. By comparison,...
Persistent link: https://www.econbiz.de/10012604801
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The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer
Xiao, Yingbin - 2004
In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody''s MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The...
Persistent link: https://www.econbiz.de/10014402051
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International sovereign bonds by emerging markets and developing economies : drivers of issuance and spreads
Presbitero, Andrea; Ghura, Dhaneshwar; Adedeji, Olumuyiwa S. - 2015
What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at...
Persistent link: https://www.econbiz.de/10011445596
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Sub-national credit risk and sovereign bailouts : who pays the premium?
Jenkner, Eva; Lu, Zhongjin - 2014
Persistent link: https://www.econbiz.de/10010389567
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Riding the yield curve : risk taking behavior in a low interest rate environment
Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...
Persistent link: https://www.econbiz.de/10012251301