The Predictive Power of Credit Spread for Macroeconomic Changes

在以前学者研究的基础上,本文对信用价差对宏观经济变量的预测模型进行了改进,首次将不同信用等级企业债的信用价差引入模型,并利用国内银行间债券市场的交易数据进行了实证检验,结果表明较之基于利率期限结构和基于信用价差的宏观经济模型,该模型对宏观经济变量的变动有更好的解释和预测能力。本文同时构建了基于协整理论的长期均衡模型,进行了脉冲响应分析,结果表明长期企业债信用价差对宏观经济变量变动的解释和预测能力较稳定。在此研究基础上,本文提出了一定的政策建议。     

Credit Spread Changes and Equity Volatility: Evidence from Daily Data

We investigate the determinants of daily changes in credit spreads in the U.S. corporate bond market. Using a sample of liquid investment grade and high‐yield bonds, we show that both systematic bond and stock market factors as well as idiosyncratic equity market factors affect changes in the yield spread at the daily frequency. In particular, we find that increase in stock market volatility has a positive effect on changes in the spread of corporate bonds over the corresponding Treasuries beyond that captured by standard term structure variables. Our results show that there is an almost contemporaneous inverse relationship between changes in the bond yield spread and the stock return of the issuing firm.     

Across-the-Curve Credit Spread Indices

We design a novel across-the-curve credit spread index, AXI, a measure of the recent cost of wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. AXI, a benchmark for bank lending and risk management, is the weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transaction and issuance volumes. We provide illustrative output of the bond-based component of AXI. By widening coverage to include all corporate debt issuers, we also build a financial conditions index (FXI).     

Determinants of Sovereign Eurobonds Yield Spread

We examine the determinants of sovereign Eurobond spread at issuance covering 1991–2000. The results of the regression models showed that yield spread increases with maturity, issue size and gross fees and decreases with credit rating and the number of managers. Higher‐grade issuers also pay a relatively higher spread to borrow long‐term funds and for smaller issues. The findings are consistent with the notion of a term structure 'liquidity premium.' Low‐grade issuers pay a higher spread than better‐rated countries. However, low‐grade countries pay high spread for larger funds. Credit rating is found to provide additional information in explaining the spread on sovereign Eurobonds beyond that provided by macroeconomic variables.     

银行账户利率风险框架下的信用利差风险监管研究

在此次金融危机中,信用利差巨幅波动造成的损失对银行偿付能力产生了冲击,而一些银行在交易账户和银行账户之间进行的监管套利,也影响了金融监管的有效性。危机之后,这些问题引起了国际监管组织和各国监管当局的关注。本文对信用利差风险的识别、计量和资本监管改革等进行了探索,分析了我国商业银行信用利差风险计量和管理面临的挑战,并有针对性地提出了政策建议。     

The Determinants of Credit Ratings in the United Kingdom Insurance Industry

This paper examines the determinants of external credit ratings attained by insurance firms in the United Kingdom (UK) and of the likelihood that insurers will have such an assessment. Using panel data relating to A.M. Best‐rated and Standard and Poor's (S&P)‐rated insurers over the period 1993–1997, a trichotomous logit model and an ordered probit model with sample selection are employed to show that the factors which influence the likelihood of having external credit assessments not only vary between the two agencies but also differ from those which determine the ratings themselves. Our results are shown to be of potential interest to participants in the insurance industry and policy‐makers alike.     

基于信用利差的中国城投债券信用风险分析

在"四万亿"投资的推动下,中国城投债券的发行规模大幅增加。与此同时,城投公司的整体债务规模也急剧攀升,其债务总量超过了地方政府的财政收入水平,城投公司的整体信用水平不容乐观。因此,城投债券的信用风险需引起足够重视。本文从量化角度研究了影响中国城投债券信用风险的四个因素,结果显示,中国城投债券的信用利差与发债企业的资产规模以及发债企业所在地区的人均GDP水平负相关,与企业债券收益率以及担保正相关。     

基于信用价差结构的最优对宏观经济预测模型的研究

在已有研究的基础上,本文改进了基于信用价差的宏观经济预测模型,首次将不同信用等级企业债的信用价差引入模型,并利用中国国内银行间债券市场交易数据进行实证检验。结果表明,相对于不区分信用等级的企业债信用价差,AA级与AAA级企业债间信用价差的线性组合对宏观经济变量变动具有较强的解释和预测能力;相对于基于利率期限结构的宏观经济预测模型,本文构建的基于信用价差的预测模型的预测效果更好。本文同时构建了基于协整理论的长期均衡模型,进行了脉冲响应分析,结果表明长期企业债信用价差对宏观经济变动的解释和预测能力较稳定。     

Determinants of Credit Constraints: Evidence from Sindh,Pakistan

This article investigates the determinants of credit constraints: evidence from Sindh, Pakistan. Cross-sectional farm-level data is collected during November and December 2016. A sample of 180 farm households is selected for interviews by using a multistage, random sampling technique. This study employed a probit regression model, frequency counts, and percentages to analyze the data. Access to formal agricultural credit is relatively low in Sindh province of Pakistan, the findings of the study show that the major constraints comprise distance to the formal credit sources, lending procedure, time lag, and interest rate whereas land ownership has a negative association and reduces the constraints to access formal credit. The findings of this study also show that for efficient allocation of resources, institutional sources of credit preferred to disburse agricultural credits toward educated and young age farmers as they are more inclined to adopt new farm technology for better farm production.     

The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors

We use daily data for a panel of 34 countries to investigate regional differences in sovereign credit default swaps (CDS) spread determinants and the significance of local versus global market factors. Similar to prior studies, we find a high level of commonality among CDS spreads, but our results show that this effect is stronger in Latin American CDS. The results of our quantile panel regression model show that although global forces drive spreads across the conditional distribution, changes in credit ratings are significant in explaining CDS spreads only in the upper quantiles. We also confirm the existence of regional differences in spread determinants.     

信用债发行利差影响因素探究

本文以2007年至2013年发行的3370只信用债为样本,从债券特征、市场状况和承销商声誉角度探讨了影响信用债发行利差的主要因素.通过多元回归分析发现:在当前信用债评级普遍偏高的情况下,信用评级仍对债券的发行利差有较强解释力.信用债的发行规模越大,发行期限越短,其发行利差越低.企业选择在市场状况比较平稳时发行债券,有利于降低发行利差.在当前情况下,承销商声誉对信用债发行利差的解释力还比较弱.     

Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants

Credit rating is the most important variable in determining tranche spread at issue on collateralised debt obligations (CDOs) issues backed by project finance (PF) loans. Factors that are important for pricing in the case of corporate bonds, such as market liquidity and weighted average maturity, are also relevant for determining spreads for these securities. Furthermore, the nature of the underlying assets has a substantial impact on CDO pricing: Primary market spread is significantly higher when the underlying PF loans bear a higher level of market risk and when the proportion of projects still under construction in the securitised portfolio is larger.     

Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market

Different approaches to forecasting the volatility associated with the credit spreads on Yen Eurobonds are investigated. The actual volatility, historical volatility and estimated conditional volatility on spreads derived from a regression-based model with a GARCH and ARMA specification are compared within an adaptation of Black’s (J. Finance, 31, 1976, 361–367) option-pricing model. Surprisingly, the regression forecast over a medium forecasting horizon suggests that historic volatility provides the better forecast. The implications of these results for volatility forecasting and credit spread modelling are also discussed.JEL Classification: C32; G15     

Time‐Varying Asset Volatility and the Credit Spread Puzzle

Most extant structural credit risk models underestimate credit spreads—a shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to fit medium‐ to long‐term spreads. The model, augmented by jumps to help explain short‐term spreads, is estimated on firm‐level data and identifies significant asset variance risk premia. An important feature of the model is the significant time variation in risk premia induced by the uncertainty about asset risk. Various extensions are considered, among them optimal leverage and endogenous default.     

The Determinants of the Intermediary Spread: Evidence from Australian, UK and USA-based International Equity Funds

This paper develops and tests a new measure of mutual fund performance, based on Brennan's (1993a) equilibrium model of the pricing of retail financial products, which assumes that search costs of investors are non-trivial and cause the demand for mutual funds to be inelastic, thus creating an intermediary spread. This implies that the marginal costs of the intermediary spread in the form of expenses and sales load must be explicitly traded off against the marginal benefits in terms of the fund's return relative to a benchmark. The measure is used to evaluate the performance of twelve USA, eight UK and five Australian-based internationally diversified equity funds over the period 1982–95, and provides new insights into their performance in ways that are not revealed by the Jensen measure.     

Evidence on the Determinants of Credit Terms Used in Interfirm Trade

Trade credit is created whenever a supplier offers terms that allow the buyer to delay payment. In this paper we document the rich variation in interfirm credit terms and credit policies across industries. We examine empirically the firm's basic credit policy choices: whether to extend credit or to require cash payment; and, if credit is extended, whether to adopt simple net terms or terms with discounts for prompt payment. We also examine determinants of variations in two-part terms. Results are supportive primarily of theories that explain credit terms as contractual solutions to information problems concerning product quality and buyer creditworthiness.     

Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads

Employing a comprehensive database on transactions of commercial paper issued by domestic U.S. nonfinancial corporations, we study the determinants of very short‐term corporate yield spreads. We find that liquidity plays a role in the determination of spreads but, somewhat surprisingly, credit quality is the more important determinant of spreads, even at horizons of less than 1 month. These results are robust across a variety of proxies for liquidity and credit risk, and have important implications for the literature on the modeling of corporate bond prices.     

农业政策性信贷风险的变化与对策

粮棉市场的全面放开，给农业政策性信贷风险带来新的冲击和困难。切实防范和化解农业政策性信贷风险，关键在于研究和把握主要矛盾和问题，外抓诚信建设，改善环境，内抓规范管理，改进经营.     

Determinants of Mortgage Default and Consumer Credit Use: The Effects of Foreclosure Laws and Foreclosure Delays

The mortgage default decision is part of a complex household credit management problem. We examine how factors affecting mortgage default spill over to other credit markets. As home equity turns negative, homeowners default on mortgages and home equity lines of credit at higher rates, whereas they prioritize repaying credit cards and auto loans. Larger unused credit card limits intensify the preservation of credit cards over housing debt. Although mortgage nonrecourse statutes increase default on all types of housing debt, they reduce credit card defaults. Foreclosure delays increase default rates for housing and nonhousing debts. Our analysis highlights the interconnectedness of debt repayment decisions.