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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
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Asset Allocation and Risk Allocation : Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?
MaCurdy, Thomas E. - 1999
the portfolio holds common stocks amounts to an asset swap. Such an asset swap does not increase national saving, wealth …. The asset swap is deemed successful if the stock portfolio generates sufficient cash to pay off the interest and principal …
Persistent link: https://www.econbiz.de/10012471785
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Predictable Returns and Asset Allocation : Should a Skeptical Investor Time the Market?
Wachter, Jessica A. - 2007
Are excess returns predictable and if so, what does this mean for investors? Previous literature has tended toward two polar viewpoints: that predictability is useful only if the statistical evidence for it is incontrovertible, or that predictability should affect portfolio choice, even if the...
Persistent link: https://www.econbiz.de/10012465488
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10012461932
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Global Business Cycles and Credit Risk
Pesaran, M. Hashem - 2005
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...
Persistent link: https://www.econbiz.de/10012467187
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Credit Risk and Disaster Risk
Gourio, Francois - 2011
Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...
Persistent link: https://www.econbiz.de/10012461632
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The Fed's International Dollar Liquidity Facilities : New Evidence on Effects
Goldberg, Linda S.; Ravazzolo, Fabiola - National Bureau of Economic Research - 2022
In March 2020, the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks …, reactivated temporary swap agreements, and then introduced the new Foreign and International Monetary Authorities (FIMA) repo … facility. We provide new evidence on how the central bank swap lines and FIMA repo facility reduce strains in global dollar …
Persistent link: https://www.econbiz.de/10013191076
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Negative Swap Spreads and Limited Arbitrage
Jermann, Urban - 2019
negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical … counterparts without the need for large demand imbalances in the swap market. Empirical evidence is consistent with the relation … between term spreads and swap spreads in the model …
Persistent link: https://www.econbiz.de/10012479378
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Are all Credit Default Swap Databases Equal?
Mayordomo, Sergio - 2010
sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10012462067
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An Empirical Analysis of the Swaption Cube
Trolle, Anders B. - 2010
-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …
Persistent link: https://www.econbiz.de/10012462108