Interpreting Movements in High-Yield Corporate Bond Market Spreads PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Interpreting Movements in High-Yield Corporate Bond Market Spreads PDF full book. Access full book title Interpreting Movements in High-Yield Corporate Bond Market Spreads by Neil Cooper. Download full books in PDF and EPUB format.
Author: Neil Cooper Publisher: ISBN: Category : Languages : en Pages : 11
Book Description
Spreads of corporate bond yields over risk-free rates are often used as a leading indicator of macroeconomic conditions. The large widening of spreads within the US high-yield bond market during the second half of 2000 might be a precursor of a downturn in the US economy. This article describes work done at the Bank during the last two months of last year that attempted to interpret these movements and assess their implications for the US economy.
Author: Neil Cooper Publisher: ISBN: Category : Languages : en Pages : 11
Book Description
Spreads of corporate bond yields over risk-free rates are often used as a leading indicator of macroeconomic conditions. The large widening of spreads within the US high-yield bond market during the second half of 2000 might be a precursor of a downturn in the US economy. This article describes work done at the Bank during the last two months of last year that attempted to interpret these movements and assess their implications for the US economy.
Author: Mark Gertler Publisher: ISBN: Category : Business cycles Languages : en Pages : 56
Book Description
The market for high yield (below investment-grade) corporate bonds developed in the middle 1980s. We show that, since this time, the high yield spread has had significant explanatory power for the business cycle. We interpret this finding as possibly symptomatic of financial factors at work in the business cycle, along the lines suggested by the financial accelerator. We also show that over this period the high yield spread outperforms other leading financial indicators, including the term spread, the paper-bill spread and the Federal Funds rate. We conjecture that changes in the conduct of monetary policy over time may account for the reduced informativeness of these alternative indicators, all of which are tied closely to monetary policy.
Author: Douglas J. Lamdin Publisher: ISBN: Category : Languages : en Pages : 21
Book Description
Corporate bond interest rates are a subject of concern to investment analysts, corporate financial managers, and scholars. In this article the yield spreads between corporate bonds and government bonds, and between differing quality corporate bonds is examined during recent decades. Also, the relationship between yield spreads and stock market movements is examined. Yield spreads vary considerably over this period, and have varying trends. Causality tests show that stock market movements precede changes in yield spreads.
Author: Martin S. Fridson Publisher: CFA Institute Research Foundation ISBN: 1944960546 Category : Business & Economics Languages : en Pages : 92
Book Description
Since the advent some 40 years ago of a vibrant primary market for speculative-grade corporate bonds, the high-yield market has evolved from a niche occupied by a small group of specialists into a full-fledged institutional investment category. Asset allocators and portfolio managers now have at their disposal the tools necessary for rigorous investment analysis, including financial statements of the issuers, indexes, trading prices, historical default rates, and time series on such credit factors as liquidity, ratings, and covenant quality. This research brief provides up-to-date techniques for extracting from the extensive data the information that can lead to sound investment decisions.
Author: Zhixin Cai Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
In this study, we introduce a new method of assessing the credit risk of corporate bonds; where in addition to the historical market data news sentiment data is used. Typically, a higher yield spread is usually associated with higher credit risk. By predicting the upward/downward movement of yield and yield spread accurately, the credit risk associated to the bonds can be detected precisely. The corporate bonds studied are issued after 1 January 2007 by seven chosen companies listed in Euro Stoxx 50 index. The time series of bond yields and news sentiment cover the period from 1 January 2007 to 15 May 2017. The modelling of the dynamics of corporate bond yields and credit spreads are based on ARIMA and ARIMAX models. In the ARIMAX model, macroeconomic and firm-specific news sentiment are used as the external explanatory variable. We examine the effect of several categories of macroeconomics news sentiment and firm-specific news sentiment on corporate bond yield spreads. Furthermore, we separate the positive and negative sentiment and investigate their impact on the forecast of corporate bond yields. It is found that negative country news sentiment and central bank news sentiment are effective during a recession period and positive country news sentiment is effective in the recovery period. Negative government and firm-specific news sentiment, in general, affect corporate bond yield spreads more than positive government and company news sentiment.
Author: Gady Jacoby Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
Using a simple theoretical framework, we issue two warnings with respect to the estimation of the yield spread - riskless rate relation. The first warning relates to Longsta and Schwartz's regression analysis applied to relative yield spreads. The second warning is closely related to Duffee's (1998) caution against interpreting results of yield-spread studies based on data sets, such as that used by Longstaand Schwartz (1995), consisting primarily of callable bonds. We provide strong support for both warnings using a data base of Canadian, investment grade, corporate bond indices containing a unique provision allowing to identify callable and noncallable indices.
Author: Katrina Avila Munichiello Publisher: Tuttle Publishing ISBN: 9780804848992 Category : Literary Collections Languages : en Pages : 256
Book Description
A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 1589063856 Category : Business & Economics Languages : en Pages : 302
Book Description
Financial Soundness Indicators (FSIs) are measures that indicate the current financial health and soundness of a country's financial institutions, and their corporate and household counterparts. FSIs include both aggregated individual institution data and indicators that are representative of the markets in which the financial institutions operate. FSIs are calculated and disseminated for the purpose of supporting macroprudential analysis--the assessment and surveillance of the strengths and vulnerabilities of financial systems--with a view to strengthening financial stability and limiting the likelihood of financial crises. Financial Soundness Indicators: Compilation Guide is intended to give guidance on the concepts, sources, and compilation and dissemination techniques underlying FSIs; to encourage the use and cross-country comparison of these data; and, thereby, to support national and international surveillance of financial systems.
Author: Neil Cooper
Author: Neil Cooper
Author: Mark Gertler
Author: Douglas J. Lamdin
Author: Martin S. Fridson
Author: Zhixin Cai
Author: Gady Jacoby
Author: Katrina Avila Munichiello
Author: Joseph W. Conard
Author: International Monetary Fund
Author: