scholarly journals Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area

2016 ◽  
Author(s):  
Elizaveta Krylova
Keyword(s):  
Euro Area ◽  
Corporate Bond ◽  
Leading Indicator ◽  
Bond Spreads

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads

2011 ◽  
Author(s):  
Vladimir Borgy ◽  
Thomas Laubach ◽  
Jean-Stéphane Mésonnier ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Default Risk ◽  
Fiscal Sustainability ◽  
Sovereign Bond ◽  
Bond Spreads

The Euro Area Corporate Bond Market: Where Do We Stand Since the Introduction of the Euro?

2003 ◽  
Vol 4 (4) ◽  
pp. 517-539 ◽  
Author(s):  
Gabe de Bondt ◽  
Jung-Duk Lichtenberger
Keyword(s):  
Euro Area ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market

scholarly journals Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

2016 ◽  
Author(s):  
Guillaume Horny ◽  
Simone Manganelli ◽  
Benoot Mojon
Keyword(s):  
Euro Area ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market

Family Management and Corporate Bond Spreads: Do Foreign and Government Ownerships Matter?

2020 ◽  
pp. 1-13
Author(s):  
Chien-Chiang Lee ◽  
Chih-Wei Wang ◽  
Shan-Ju Ho
Keyword(s):  
Corporate Bond ◽  
Family Management ◽  
Bond Spreads

scholarly journals The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of Their Determinants

2019 ◽  
Author(s):  
Henning Fischer ◽  
Oscar Anselm Stolper
Keyword(s):  
Nonlinear Dynamics ◽  
Corporate Bond ◽  
Bond Spreads

Uncertainty in Euro area and the bond spreads

2020 ◽  
Vol 537 ◽  
pp. 122643 ◽  
Author(s):  
Konstantinos Gkillas ◽  
Athanasios Tsagkanos ◽  
Argyro Svingou ◽  
Costas Siriopoulos
Keyword(s):  
Euro Area ◽  
Bond Spreads

scholarly journals Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets

2015 ◽  
Vol 05 (03) ◽  
pp. 1550007 ◽  
Author(s):  
Jan Ericsson ◽  
Joel Reneby ◽  
Hao Wang
Keyword(s):  
Default Risk ◽  
Structural Models ◽  
Credit Default Swap ◽  
Corporate Bond ◽  
Credit Default ◽  
Credit Derivative ◽  
Risk Free Rate ◽  
Derivative Markets ◽  
Bond Spreads ◽  
Free Rate

Using a set of structural models, we evaluate the price of default protection for a sample of US corporations. In contrast to previous evidence from corporate bond data, credit default swap (CDS) premia are not systematically underestimated. In fact, one of our studied models has little difficulty on average in predicting their level. For robustness, we perform the same exercise for bond spreads by the same issuers on the same trading date. As expected, bond spreads relative to the treasury curve are systematically underestimated. This is not the case when the swap curve is used as a benchmark, suggesting that previously documented underestimation results may be sensitive to the choice of risk-free rate.

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