Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads

Subject Italy's government relations. Significance Italy’s coalition partners agreed on January 10 to take in a dozen stranded migrants from the Sea Watch 3 NGO ship in Malta after the two parties initially took divergent stands on the issue. Migration has been a source of growing division between the anti-immigrant League party and the anti-establishment Five Star Movement (M5S), among other issues such as the environment and tax. However, in the short-term, staying in government is in the interest of both parties. Impacts Government stability should see bond yield spreads between Italy and Germany stabilise. Longer-term structural reforms are likely to go unaddressed as the coalition partners turn their focus to European elections. The EU could be forced to accommodate Italy’s migration policy, particularly with respect to the redistribution of migrants.

Short-Term Corporate Bond Yield Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2042617 ◽

2012 ◽

Cited By ~ 1

Author(s):

Peter Feldhütter

Keyword(s):

Corporate Bond ◽

Short Term ◽

Yield Spreads ◽

Bond Yield

A Daily View of Yield Spreads and Short-Term Interest Rate Movements

Journal of money credit and banking ◽

10.2307/2077965 ◽

1996 ◽

Vol 28 (1) ◽

pp. 34 ◽

Cited By ~ 30

Author(s):

William Roberds ◽

David Runkle ◽

Charles H. Whiteman

Keyword(s):

Interest Rate ◽

Short Term ◽

Yield Spreads

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

The Journal of Finance ◽

10.1111/j.1540-6261.2007.01276.x ◽

2007 ◽

Vol 62 (5) ◽

pp. 2303-2328 ◽

Cited By ~ 88

Author(s):

DAN COVITZ ◽

CHRIS DOWNING

Keyword(s):

Credit Risk ◽

Short Term ◽

Yield Spreads

Testing Distributions of Stochastically Generated Yield Curves

Astin Bulletin ◽

10.1017/s0515036100013969 ◽

2004 ◽

Vol 34 (1) ◽

pp. 229-247

Author(s):

Gary G. Venter

Keyword(s):

Interest Rates ◽

Stochastic Modeling ◽

Conditional Distributions ◽

Short Term ◽

Yield Curves ◽

Yield Spreads

A method is introduced for testing the distribution of yield curves that are produced by asset scenario generators. The method is based on historical relationships in the conditional distributions of yield spreads given the short-term rate. As an illustration, this method is used to test a few selected models. To provide background, stochastic modeling for interest rates and fitting methods are briefly discussed.

Testing Distributions of Stochastically Generated Yield Curves

Astin Bulletin ◽

10.2143/ast.34.1.504963 ◽

2004 ◽

Vol 34 (01) ◽

pp. 229-247

Author(s):

Gary G. Venter

Keyword(s):

Interest Rates ◽

Stochastic Modeling ◽

Conditional Distributions ◽

Short Term ◽

Yield Curves ◽

Yield Spreads

A method is introduced for testing the distribution of yield curves that are produced by asset scenario generators. The method is based on historical relationships in the conditional distributions of yield spreads given the short-term rate. As an illustration, this method is used to test a few selected models. To provide background, stochastic modeling for interest rates and fitting methods are briefly discussed.

Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads

Finance and Economics Discussion Series ◽

10.17016/feds.2002.45 ◽

2002 ◽

Vol 2002 (45) ◽

pp. 1-40

Author(s):

Daniel M. Covitz ◽

◽

Chris Downing

Keyword(s):

Short Term ◽

Yield Spreads

Overreaction of yield spreads and movements of Brazilian interest ratest

Brazilian Review of Econometrics ◽

10.12660/bre.v24n12004.2702 ◽

2004 ◽

Vol 24 (1) ◽

pp. 1 ◽

Cited By ~ 6

Author(s):

Ricardo D. Brito ◽

Angelo José Mont' Alverne Duarte ◽

Osmani Teixeira de Carvalho Guillen

Keyword(s):

Interest Rate ◽

Rational Expectations ◽

Alternative Hypothesis ◽

Yield Spread ◽

Short Term ◽

Yield Spreads ◽

Expectations Hypothesis ◽

Highly Correlated ◽

One Year

This paper tests the rational expectations hypothesis (REH) for Brazil from July 1996 to December 2001. For any pair of maturities between one day and one year, it shows that the yield spread between a longer-term and a shorterterm interest rate is an imprecise predictor of the short-term movements in the longer-term interest rate and of the long-term movements in the shorter-term interest rate. Moreover, yield spreads highly correlated with the rational expectations forecasts of future changes in the shorter-term rate, but significantly more volatile than these, suggest the rejection of the REB. The alternative hypothesis of overreaction of the yield spread to the expectation of future changes in the shorter-term rate seems a reasonable explanation to these findings, and can be rationalized by a monetary policy of interest rate smoothing.