scholarly journals The impact of ESG rating on corporate bond yields

2020 ◽  
Vol 7 (4) ◽  
pp. 474-488
Author(s):  
Balázs Kotró ◽  
Martin Márkus
Keyword(s):  
Risk Premium ◽  
Time Horizon ◽  
Credit Rating ◽  
Corporate Bond ◽  
Bond Yields ◽  
Yield Curves ◽  
Social Governance ◽  
The Usa ◽  
The Impact ◽  
Rating Category

This paper is to investigate whether markets assess corporate bonds riskier if their issuers have lower ESG (Environmental Social Governance) scores. For the study we used the corporate yield curves of Refinitiv further segmented by credit rating. The added risk of the ESG factor was measured in the time horizon of 2015 to 2020. It has turned out that in the USA in the group of the best debtor companies by Moody’s investors expected companies with the lowest ESG scores to provide a 35 basis point higher risk premium compared to their counterparts with the highest ESG scores. This statement is also valid for the E, S and G-rating separately. In line with another trend, the riskier your credit rating category, the lower is the risk premium caused by the lack of responsible management.

scholarly journals Does the Financial Status of Company Affect the Bond Credit Rating? ——Empirical Evidence from China's Shanghai and Shenzhen Stock Exchanges

2021 ◽  
Vol 4 (1) ◽  
Author(s):  
Yuyan Cai
Keyword(s):  
Credit Rating ◽  
Credit Ratings ◽  
Corporate Bonds ◽  
Principal Component ◽  
Corporate Bond ◽  
Stock Exchanges ◽  
Analysis Method ◽  
Financial Status ◽  
Financial Variables ◽  
The Impact

This article takes the companies that publicly issued corporate bonds on the Shanghai and Shenzhen Stock Exchanges from 2006 to 2018 as the research objects selecting six aspects that comprehensively reflect the 17 financial variables in 6 aspects: profitability, operating ability, bond repayment ability, development ability, cash flow and market value of the company. Principal component analysis method and factor analysis method are used to extract the principal factors of these financial indicator variables. That is how an ordered multi-classification Logistic regression model is constructed to test the impact of the Shanghai and Shenzhen Stock Exchanges’ financial status on the corporate bond credit rating. It turns out that the financial status of the Shanghai and Shenzhen Stock Exchanges have an important impact on the credit rating of corporate bonds. The financial status has a greater impact on corporate bonds with credit ratings of A- and AA-, while it has a smaller impact on corporate bonds with credit ratings above AA. The results of this article can help individual and institutional investors prevent risks from investing.

Corporate Bond Markets

2019 ◽  
pp. 113-130
Author(s):  
Kelly E. Carter
Keyword(s):  
Interest Rates ◽  
Credit Ratings ◽  
Corporate Bonds ◽  
Corporate Bond ◽  
Bond Markets ◽  
Bond Prices ◽  
Wall Street ◽  
Yield Curves ◽  
Bond Portfolios ◽  
The Impact

This chapter covers the fundamentals of corporate bond markets. It begins by highlighting the size and importance of these markets, followed by a discussion of the major types of corporate bonds and the process of issuing bonds. Next, the chapter provides a discussion of important relationships between a bond’s price and market interest rates, including the key observation that bond prices move opposite market interest rates. The next topic focuses on duration and convexity, which are techniques to estimate the dollar and percent changes in bond prices for a given change in market interest rates, followed by a discussion of bond immunization, which is a technique used to protect the value of bond portfolios from adverse changes in market interest rates. The final topics covered concern yield curves, credit ratings, and the impact of the Dodd-Frank Wall Street Reform Act of 2010 on corporate bond markets.

Weaker euro-area may affect Emerging Europe

2016 ◽  
Keyword(s):  
Euro Area ◽  
Credit Rating ◽  
Emerging Market ◽  
Corporate Bond ◽  
Bond Yields ◽  
Content Type ◽  
Central Eastern Europe ◽  
Political Risks ◽  
Government Bond Markets ◽  
The Uk

Subject The fallout in Central-eastern Europe (CEE) from Brexit. Significance While CEE government bond markets are being supported by investor expectations of further monetary stimulus in response to the uncertainty stemming from the UK decision to leave the EU ('Brexit'), the zloty is suffering from both its status as one of the most actively traded emerging market (EM) currencies and concerns about the policies of Poland's new nationalist government. A sharp Brexit-induced slowdown in the euro-area economy would put other CEE currencies and equity markets under strain. Impacts The ECB's full-blown QE is helping keep government and corporate bond yields in vulnerable southern European economies historically low. Uncertainty generated by Brexit reduces the scope for further US interest rate hikes later this year, lifting sentiment towards EM assets. The Brexit vote will increase investors' sensitivity to political risks, auguring badly for Poland. Poland has already suffered a downgrade to its credit rating mainly as a result of the interventionist policies of the PiS government.

The Relation between Two Kinds of Par Yield Curves: Benchmark Par Yield Curve and Company Par Yield Curve

2012 ◽  
Vol 20 (3) ◽  
pp. 325-346
Author(s):  
Seung Hyun Oh
Keyword(s):  
Credit Risk ◽  
Credit Rating ◽  
Yield Curve ◽  
Bond Market ◽  
Corporate Bond ◽  
Spot Rate ◽  
Yield Curves ◽  
Transaction Data ◽  
Absolute Value ◽  
Bootstrapping Method

This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is published as a benchmark for corporate bonds with a given credit rating and the latter is utilized for valuing a specific corporate bond. Spot rate curves are extracted from the par yield curves by applying bootstrapping method. The spreads between the two spot rate curves are analyzed for 7 years (2005~2012) of corporate bond transaction data. Six results are obtained from various sub-samples classified by credit rating and maturity. 1) Most of the sample means of the spreads are above zero. 2) Negative average spreads are found mainly from the sample of BBB rated bonds. 3) Average spreads from the sample with credit greater than or equal to A tend to positively related with credit risk. 4) Absolute value of the average spreads are positively related with credit risk. 5) The average spreads are increased rapidly after the year of 2009. 6) The proportion of sub-samples having negative average spreads are decreased as the average maturity of the sample is shortened.

Institutional barriers to productive public-sector entrepreneurship

2018 ◽  
Vol 7 (4) ◽  
pp. 306-319 ◽  
Author(s):  
Brian Strow ◽  
Claudia Strow
Keyword(s):  
Public Sector ◽  
Credit Rating ◽  
Optimal Level ◽  
Barriers To Entry ◽  
Content Type ◽  
Practical Applications ◽  
Economic Significance ◽  
The Usa ◽  
The Impact ◽  
Public Sector Entrepreneurship

Purpose The purpose of this paper is to outline barriers to public-sector entrepreneurship and explore the impact of those barriers on population shifts within the USA. Design/methodology/approach This paper lays out five specific barriers to public-sector entrepreneurship: barriers to entry and exit for consumers and producers, increased centralization and concentration in government, the lack of residual claim amongst public-sector actors, the rise of public-sector union membership and increasingly uncompetitive elections. The paper then assesses the impact of each of these barriers on population and production changes within the USA from 2010 to 2017. Findings Those state governments with limited barriers for productive public-sector entrepreneurship are rewarded with faster growing populations. Specifically, states with higher incomes, less centralized spending, lower public-sector unionization rates and higher state credit ratings tend to experience the greatest levels of population growth. States with less centralized spending also experience the largest increases in gross state product per capita. Practical implications This paper offers practical applications for policy makers wishing to increase their tax bases, increase the standard of living for their constituents or increase the efficiency in production and distribution of government goods and services. In particular, this paper offers evidence that an improved credit rating carries the most economic significance for population gains. Originality/value To the best of the authors’ knowledge, this is the first paper to examine Tiebout effects from barriers to public-sector entrepreneurship in the USA. Researchers in fields including political science, economics, management and public policy have all contributed to our understanding of public entrepreneurship. And yet, there are still numerous barriers preventing productive public-sector entrepreneurship from occurring at an optimal level.

Risk Premium Information from Treasury-Bill Yields

2018 ◽  
Vol 53 (1) ◽  
pp. 437-454 ◽  
Author(s):  
Jaehoon Lee
Keyword(s):  
Risk Premium ◽  
Bond Yields ◽  
Short Term ◽  
Treasury Bonds ◽  
Yield Curves ◽  
Treasury Bill ◽  
Risk Premiums ◽  
Unique Information ◽  
Treasury Bond

I find that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate 2 components of risk premiums: long term and short term. The long-term component steepens the slope of yield curves and has a forecastability horizon of longer than 1 year. In contrast, the short-term component affects Treasury-bill yields but is almost invisible from Treasury bonds, has a forecastability horizon of less than 1 quarter, and is related to bond liquidity premiums.

scholarly journals Assessing the impacts of global economic policy uncertainty and the long-term bond yields on oil prices

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Oguzhan Ozcelebi
Keyword(s):  
Economic Activity ◽  
Oil Prices ◽  
Policy Uncertainty ◽  
Government Bond ◽  
Bond Yields ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
The Usa ◽  
The Impact

Purpose Might the impact of the global economic policy uncertainty (GEPU) and the long-term bond yields on oil prices be asymmetric? This paper aims to consider the effects of the GEPU and the US long-term government bond yields on oil prices using quantile-based analysis and nonlinear vector autoregression (VAR) model. The author hypothesized whether the negative and positive changes in the GEPU and the long-term bond yields of the USA have different effects on oil prices. Design/methodology/approach To address this question, the author uses quantile cointegration model and the impulse response functions (IRFs) of the censored variable approach of Kilian and Vigfusson (2011). Findings The quantile cointegration test showed the existence of non-linear cointegration relationship, whereas Granger-causality analysis revealed that positive/negative variations in GEPU will have opposite effects on oil prices. This result was supported by the quantile regression model’s coefficients and nonlinear VAR model’s IRFs; more specifically, it was stressed that increasing/decreasing GEPU will deaccelerate/accelerate global economic activity and thus lead to a fall/rise in oil prices. On the other hand, the empirical models indicated that the impact of US 10-year government bond yields on oil prices is asymmetrical, while it was found that deterioration in the borrowing conditions in the USA may have an impact on oil prices by slowing down the global economic activity. Originality/value As a robustness check of the quantile-based analysis results, the slope-based Mork test is used.

scholarly journals Analysis of government bonds and prediction of their development after the pandemic caused by COVID-19

2021 ◽  
Vol 91 ◽  
pp. 01044
Author(s):  
Petr Suler ◽  
Vaclav Polan
Keyword(s):  
Economic Crisis ◽  
Credit Rating ◽  
Yield Curve ◽  
Government Bond ◽  
Budget Deficits ◽  
Bond Yields ◽  
Individual Country ◽  
Yield Curves ◽  
Government Bonds ◽  
The Government

This paper describes the current state of the government bond market and predicts the future development of government bond yields using the yield curve to bond maturity, spot yield curve, credit rating and simple prediction. The ongoing economic crisis caused by the COVID-19 pandemic is changing the lives of many people. In order for each individual country to help its households, prevent mass job lay-offs and high mortality, their fiscal budget deficits are growing to unexpected heights. The aim of this paper is to analyse government bonds as one of the tools that can help both the state and individual households at this time. Government bond yields are analysed and compared with other countries based on the development of government bonds using credit ratings, yield curves to maturity, spot yield curves and simple historical development of government bonds from the previous economic crisis in 2008. Based on the results, we conclude that countries severely affected by the COVID-19 pandemic and subsequent mortality, such as Italy, have a relatively stable yield. In contrast, for countries such as the Czech Republic and South Korea, yields to maturity at both ends are relatively declining.

scholarly journals Monetary Policy and Corporate Bond Returns

2020 ◽  
Vol 10 (3) ◽  
pp. 441-489 ◽  
Author(s):  
Haifeng Guo ◽  
Alexandros Kontonikas ◽  
Paulo Maio
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Risk Premium ◽  
Corporate Bond ◽  
Term Premium ◽  
Bond Returns ◽  
Policy Shocks ◽  
The Interest Rate ◽  
The Impact

Abstract We investigate the impact of monetary policy shocks on excess corporate bonds returns. We obtain a significant negative response of bond returns to policy shocks, which is especially strong among low-grading bonds. The largest portion of this response is related to higher expected bond returns (risk premium news), while the impact on expectations of future interest rates (interest rate news) plays a secondary role. However, the interest rate channel is dominant among high-grading bonds and Treasury bonds. Looking at the two components of bond premium news, we find that the dominant channel for high-rating (low-rating) bonds is term premium (credit premium) news. (JEL 44, E52, G10, G12) Received: March 25, 2019: Editorial decision: March 27, 2020 by Editor: Hui Chen. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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