Macroeconomic Conditions and Credit Default Swap Spread Changes

Autor:	Tong Suk Kim, Yuen Jung Park, Jae-Won Park
Rok vydání:	2017
Předmět:	Economics and Econometrics 050208 finance Credit default swap Financial economics 05 social sciences Monetary economics General Business Management and Accounting Credit default swap index iTraxx Accounting 0502 economics and business Business cycle Economics Credit derivative 050207 economics Credit valuation adjustment Synthetic CDO Finance Credit risk
Zdroj:	Journal of Futures Markets. 37:766-802
ISSN:	0270-7314
DOI:	10.1002/fut.21836
Popis:	This study investigates the importance of the business cycle in explaining credit default swap spread changes by utilizing ex ante proxies. It uses portfolio regression and finds the structural variables, including the business cycle, explain approximately 65% of the spread differences. Furthermore, the business cycle variable enhances explanatory power more during the pre- and post-crisis periods than during the crisis period and shows greater improvement for investment-grade than for non-investment-grade firms. These results suggest that macroeconomic conditions play a critical role when the underlying asset value is likely to have greater distance from the default barrier. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:766–802, 2017
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::61e3ba1d81e3d40257b2bee291fb49d9 https://doi.org/10.1002/fut.21836 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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