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Liquidity effects in corporate bond spreads
Helwege, Jean; Huang, Jing-Zhi; Wang, Yuan - In: Journal of Banking & Finance 45 (2014) C, pp. 105-116
Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two … firm and that trade on the same day, allowing us to examine the effects of liquidity in a sample of bond pairs. We examine … standard liquidity measures to determine how well they explain the differences in the two bonds’ yield spreads and find that …
Persistent link: https://www.econbiz.de/10010943185
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Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2010
Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste...
Persistent link: https://www.econbiz.de/10008544248
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Pricing of Sovereign Credit Risk; Evidence From Advanced Economies During the Financial Crisis
Alper, C. Emre; Forni, Lorenzo; Gerard, Marc - International Monetary Fund (IMF) - 2012
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market...
Persistent link: https://www.econbiz.de/10009650642
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How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004
We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s...
Persistent link: https://www.econbiz.de/10005264003
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The Pricing of Credit Default Swaps During Distress
Singh, Manmohan; Andritzky, Jochen R. - International Monetary Fund (IMF) - 2006
Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are...
Persistent link: https://www.econbiz.de/10005605393
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Public Debt Markets in Central America, Panama, and the Dominican Republic
Jobst, Andreas; Valderrama, Laura; Guerra, Ivan; Shah, … - International Monetary Fund (IMF) - 2007
This paper-consisting of a regional study and seven country studies-reviews the state of domestic public debt markets in Costa Rica, Dominican Republic, El Salvador, Guatemala, Honduras, Nicaragua, and Panama as at end-2005. Although they account for the lion's share of capital markets, regional...
Persistent link: https://www.econbiz.de/10005825635
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Economic Growth and Integration in Central America
Schipke, Alfred; Desruelle, Dominique - International Monetary Fund (IMF) - 2007
How to entrench hard-won gains, increase resilience to shocks, and improve growth performance to reduce poverty? As Central America moves forward in regaining macroeconomic stability, these are the challenges. This study analyzes Central America’s real, fiscal, monetary, and financial...
Persistent link: https://www.econbiz.de/10005590924
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Seychelles; 2010 Article IV Consultation and Second Review Under the Extended Arrangement, Request for Rephasing of Disbursements, and Financing Assurances Review-Staff Report; Sta...
International Monetary Fund (IMF); International … - 2011
Seychelles's strong stabilization efforts has helped the economy to overcome debt crisis and global recession under the Stand-By Arrangement (SBA). But the authorities need to address monetary policy trade-offs, and financial sector challenges exist. Executive Directors welcomed Seychelles's...
Persistent link: https://www.econbiz.de/10011242936
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Toward An Effective Supervision of Partially Dollarized Banking Systems
Pascual, Antonio Garcia; Cayazzo, Jorge; Heysen, Socorro; … - International Monetary Fund (IMF) - 2006
. The tendency to underprice systemic liquidity risk and currency-induced credit risk creates vulnerabilities that need … liquidity and solvency risks. The paper also shows that most dollarized countries have addressed their liquidity vulnerabilities …
Persistent link: https://www.econbiz.de/10005605319
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Bank Risk Within and Across Equilibria
Agur, Itai - International Monetary Fund (IMF) - 2014
The global financial crisis highlighted that the financial system can be most vulnerable when it seems most stable. This paper models non-linear dynamics in banking. Small shocks can lead from an equilibrium with few bank defaults straight to a full freeze. The mechanism is based on...
Persistent link: https://www.econbiz.de/10010800971