Macroeconomic risks of supply chain counterparties and corporate bond yield spreads |
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| Authors: | Tsung-Kang Chen Hsien-Hsing Liao Hsiao-Chun Huang |
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| Affiliation: | 1. Department of Finance and International Business, Fu Jen Catholic University, No. 510, Jhongjheng Rd., Sinjhuang Dist., New Taipei City, Taiwan, Republic of China
2. Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Taipei City, Taiwan, Republic of China
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| Abstract: | The domino phenomenon that corporate failures occur along supply chain during the recent financial tsunami shows the important effects of the systematic risk of a firm’s supply chain counterparties on its credit risk (or bond yield spreads). It motivates this research to investigate the effects of supply chain counterparties’ macroeconomic risks on corporate bond yield spreads by employing 10,022 American bond observations from 1997 to 2008. The empirical results show that the macroeconomic risks of a firm and its customers are significantly and positively related to the firm’s bond yield spreads while those of suppliers have insignificant effects. |
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