Narrow search
Showing 1 - 10 of 8,387
Cover Image
Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...
Persistent link: https://www.econbiz.de/10012307696
Cover Image
Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
Cover Image
57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?
Wolfinger, Julia - 2019
news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10012892159
Cover Image
Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads
Kahlert, Dennis - 2017
This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By …
Persistent link: https://www.econbiz.de/10012969408
Cover Image
57 channels (and nothin on) : does TV-news on the Eurozone affect government bond yield spreads?
Wolfinger, Julia; Feld, Lars P.; Köhler, Ekkehard A.; … - 2018
news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10011955600
Cover Image
Do Eurozone yield spreads predict recessions?
Schock, Matthias - 2014 - Rev. September 2014
recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a … using the commonly employed yield spread remains high, provided that biases associated with Eurozone sovereign default risk …
Persistent link: https://www.econbiz.de/10010419649
Cover Image
Predicting economic activity via Eurozone yield spreads : impact of credit risk
Schock, Matthias - 2015
A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future … spreads, growth is sparse in the Eurozone. We find this to be caused by default risks, which are distorting the long …-term interest rates of many Eurozone countries. Therefore, a new method of risk adjustment is introduced. We employ credit default …
Persistent link: https://www.econbiz.de/10010492457
Cover Image
What Drives Corporate Bond Risk Premia? Evidence from the CDS Market
Diaz, Antonio - 2017
This article studies the economic factors behind corporate default risk premia in Europe during the period 2006–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the underlying bonds in market-wide default circumstances. We...
Persistent link: https://www.econbiz.de/10012976109
Cover Image
Firm-specific risk-neutral distributions : the role of CDS spreads
Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2017
We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail. Jointly, options and CDS span the intermediate part of the...
Persistent link: https://www.econbiz.de/10011779565
Cover Image
Prices and volatilities in the corporate bond market
Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268