File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Macroeconomic conditions, firm characteristics, and credit spreads

TitleMacroeconomic conditions, firm characteristics, and credit spreads
Authors
KeywordsCredit Spreads
Default Risk
Macroeconomic Conditions
Issue Date2006
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0920-8550
Citation
Journal Of Financial Services Research, 2006, v. 29 n. 3, p. 177-210 How to Cite?
AbstractWe study a structural model that allows us to examine how credit spreads are affected by the interaction betweeen macroeconomic conditions and firm characteristics. Unlike most other structural models, our model explicitly incorporates equilibrium macroeconomic dynamics and models a firm's cash flow as primitive processes. Corporate securities are priced as contingent claims written on cash flows. Default occurs when the firm's cash flow cannot cover the interest payments and the recovery rate is dependent on the economic condition at default. Our model produces the folloBarLinewing predictions: (i) credit spread is mostly negatively correlated with interest rate; (ii) credit spread yield curves are upward sloping for low-grade bonds: (iii) firm characteristics have significant effects on credit spreads and these effects also vary with economic conditions. These predictions are consistent with the available empirical evidence and generate implications for further empirical investigation. © Springer Science + Business Media, LLC 2006.
Persistent Identifierhttp://hdl.handle.net/10722/177736
ISSN
2015 Impact Factor: 0.769
2015 SCImago Journal Rankings: 0.572
References

 

DC FieldValueLanguage
dc.contributor.authorTang, DYen_US
dc.contributor.authorYan, Hen_US
dc.date.accessioned2012-12-19T09:39:45Z-
dc.date.available2012-12-19T09:39:45Z-
dc.date.issued2006en_US
dc.identifier.citationJournal Of Financial Services Research, 2006, v. 29 n. 3, p. 177-210en_US
dc.identifier.issn0920-8550en_US
dc.identifier.urihttp://hdl.handle.net/10722/177736-
dc.description.abstractWe study a structural model that allows us to examine how credit spreads are affected by the interaction betweeen macroeconomic conditions and firm characteristics. Unlike most other structural models, our model explicitly incorporates equilibrium macroeconomic dynamics and models a firm's cash flow as primitive processes. Corporate securities are priced as contingent claims written on cash flows. Default occurs when the firm's cash flow cannot cover the interest payments and the recovery rate is dependent on the economic condition at default. Our model produces the folloBarLinewing predictions: (i) credit spread is mostly negatively correlated with interest rate; (ii) credit spread yield curves are upward sloping for low-grade bonds: (iii) firm characteristics have significant effects on credit spreads and these effects also vary with economic conditions. These predictions are consistent with the available empirical evidence and generate implications for further empirical investigation. © Springer Science + Business Media, LLC 2006.en_US
dc.languageengen_US
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0920-8550en_US
dc.relation.ispartofJournal of Financial Services Researchen_US
dc.subjectCredit Spreadsen_US
dc.subjectDefault Risken_US
dc.subjectMacroeconomic Conditionsen_US
dc.titleMacroeconomic conditions, firm characteristics, and credit spreadsen_US
dc.typeArticleen_US
dc.identifier.emailTang, DY: yjtang@hku.hken_US
dc.identifier.authorityTang, DY=rp01096en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1007/s10693-006-7625-yen_US
dc.identifier.scopuseid_2-s2.0-33646733844en_US
dc.identifier.hkuros164549-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33646733844&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume29en_US
dc.identifier.issue3en_US
dc.identifier.spage177en_US
dc.identifier.epage210en_US
dc.identifier.eissn1573-0735-
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridTang, DY=13606932900en_US
dc.identifier.scopusauthoridYan, H=35328765400en_US
dc.identifier.citeulike657961-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats