Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

2020 ◽  
Author(s):  
Jing-Zhi Jay Huang ◽  
Bibo Liu ◽  
Zhan Shi
Keyword(s):  
Short Term ◽  
Yield Spreads ◽  
Commercial Paper

The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin’s Forgone Bail-out

2009 ◽  
Vol 229 (1) ◽  
Author(s):  
Alexander Schulz ◽  
Guntram B. Wolff
Keyword(s):  
Risk Aversion ◽  
Corporate Bond ◽  
Constitutional Court ◽  
Data Set ◽  
Yield Spreads ◽  
Federal States ◽  
German Federal States ◽  
Federal Constitutional ◽  
Commercial Paper ◽  
City State

SummaryThe paper presents a new and comprehensive data set of all bonds issued by the sixteen German federal states (Länder) since 1992. It thus provides a complete picture of a capital market comparable in size to the combined corporate bond and commercial paper market in Germany. The quantitative analysis reveals that Länder follow different issuing strategies: while some concentrate to a greater extent on large issues or issue joint bonds with other Länder (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some Länder issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute time series of yields for the respective Länder at a daily frequency as well as a liquidity measure. Based on the unique data set, we document that spreads of Länder yields to the Bund are driven to a great extent by general risk aversion. Public debt only has an economically marginal impact. Moreover, the recent refusal of the Federal Constitutional Court to grant additional federal funds to the city-state of Berlin did not change the risk assessment of German Länder by financial markets. Recent market turbulences have manifestly contributed to widening spreads as well as increased responsiveness of Länder spreads to international measures of risk aversion.

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

2003 ◽  
Author(s):  
Daniel M. Covitz ◽  
Chris T. Downing
Keyword(s):  
Short Term ◽  
Yield Spreads

Italy’s populist government will hold together for now

2019 ◽  
Keyword(s):  
Migration Policy ◽  
Structural Reforms ◽  
Short Term ◽  
Yield Spreads ◽  
Content Type ◽  
European Elections ◽  
Government Relations ◽  
Bond Yield ◽  
Five Star Movement ◽  
The Eu

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

2012 ◽  
Author(s):  
Peter Feldhütter
Keyword(s):  
Corporate Bond ◽  
Short Term ◽  
Yield Spreads ◽  
Bond Yield

scholarly journals Short-Term Debt as Bridge Financing: Evidence from the Commercial Paper Market

2015 ◽  
Vol 70 (1) ◽  
pp. 211-255 ◽  
Author(s):  
MATTHIAS KAHL ◽  
ANIL SHIVDASANI ◽  
YIHUI WANG
Keyword(s):  
Short Term ◽  
Commercial Paper

Short-Term Funding and Financing Alternatives

2019 ◽  
pp. 167-184
Author(s):  
Benjamin Aguilar ◽  
Ajit Jain ◽  
Kevin Neaves
Keyword(s):  
Capital Markets ◽  
Working Capital ◽  
Short Term ◽  
Expected Return ◽  
Accounts Receivable ◽  
Purchase Order ◽  
Commercial Paper ◽  
Potential Risks ◽  
Repurchase Agreements ◽  
Revolving Credit

This chapter discusses the different types of short-term funding and financing alternatives that are available in the commercial money and capital markets. First, it covers commercial paper market activity, issue maturity, and quality. Second, the chapter addresses common uses and terms for commercial and standby letters of credit as well as common issuing requirements and covenants, and discusses the parties, processes, and risks involved. Third, it covers bilateral and trilateral repurchase agreements. Fourth, the chapter discusses asset-based loans, including accounts receivable factoring and purchase order financing. Finally, it covers revolving credit facilities and their associated costs. In sum, short-term funding is important for borrowers seeking additional liquidity to finance working capital or other short-term investments. For each type of short-term funding alternative, the chapter discusses the expected return and potential risks that the borrower and lender should evaluate before entering the financial transaction.

Debt Market Liquidity and Corporate Default Prediction

2014 ◽  
Vol 04 (04) ◽  
pp. 1550003
Author(s):  
Deming Wu ◽  
Suning Zhang
Keyword(s):  
Market Liquidity ◽  
Subprime Crisis ◽  
Short Term ◽  
Time Dynamic ◽  
Corporate Default ◽  
Rollover Risk ◽  
Default Prediction ◽  
Commercial Paper ◽  
Debt Market ◽  
Nonfinancial Firms

Recent research on the subprime crisis and rollover risk suggests that debt market liquidity is a major factor affecting the risk of default. This implies that firms that rely heavily on short-term debt, such as commercial paper (CP), are at greater risk of default. Debt market illiquidity could reduce the value of the firm and thus impact the firm's leverage, which is a major factor in predicting default. We estimate the effect of debt market conditions on the probability of default with a discrete-time dynamic hazard model that takes into account measurement error in firm leverage. Our results indicate that rollover risk is a significant factor in causing default, but the risk was higher for nonfinancial firms around 2000–2001 and considerably less entering the subprime crisis.

scholarly journals When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007–2009

2010 ◽  
Vol 24 (1) ◽  
pp. 29-50 ◽  
Author(s):  
Marcin Kacperczyk ◽  
Philipp Schnabl
Keyword(s):  
Financial Crisis ◽  
Adverse Selection ◽  
Federal Reserve ◽  
Supply And Demand ◽  
Institutional Constraints ◽  
Safe Haven ◽  
Short Term ◽  
Money Market Funds ◽  
Commercial Paper ◽  
Alternative Sources

Commercial paper is a short-term debt instrument issued by large corporations. The commercial paper market has long been viewed as a bastion of high liquidity and low risk. But twice during the financial crisis of 2007–2009, the commercial paper market nearly dried up and ceased being perceived as a safe haven. Major interventions by the Federal Reserve, including large outright purchases of commercial paper, were eventually used to support both issuers of and investors in commercial paper. We will offer an analysis of the commercial paper market during the financial crisis. First, we describe the institutional background of the commercial paper market. Second, we analyze the supply and demand sides of the market. Third, we examine the most important developments during the crisis of 2007–2009. Last, we discuss three explanations of the decline in the commercial paper market: substitution to alternative sources of financing by commercial paper issuers, adverse selection, and institutional constraints among money market funds.

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

1996 ◽  
Vol 28 (1) ◽  
pp. 34 ◽  
Author(s):  
William Roberds ◽  
David Runkle ◽  
Charles H. Whiteman
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
Yield Spreads
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