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

Citations

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Cited by:

  1. He, Liang, 2019. "The seed of a crisis: Investor sentiment and bank liquidity," Finance Research Letters, Elsevier, vol. 29(C), pages 152-155.
  2. Daniel M. Covitz & J. Nellie Liang & Gustavo A. Suarez, 2009. "The anatomy of a financial crisis: the evolution of panic-driven runs in the asset-backed commercial paper market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan, pages 1-36.
  3. Sven Klingler & Olav Syrstad, 2021. "Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers," Working Paper 2021/16, Norges Bank.
  4. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  5. Prati, Alessandro & Schindler, Martin & Valenzuela, Patricio, 2012. "Who benefits from capital account liberalization? Evidence from firm-level credit ratings data," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1649-1673.
  6. Schabert, Andreas, 2015. "Optimal central bank lending," Journal of Economic Theory, Elsevier, vol. 157(C), pages 485-516.
  7. Bruche, Max & Segura, Anatoli, 2017. "Debt maturity and the liquidity of secondary debt markets," Journal of Financial Economics, Elsevier, vol. 124(3), pages 599-613.
  8. Chunling Li & Khansa Pervaiz & Muhammad Asif Khan & Faheem Ur Rehman & Judit Oláh, 2019. "On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region," Sustainability, MDPI, vol. 11(23), pages 1-14, November.
  9. Chen, Tsung-Kang & Liao, Hsien-Hsing & Tsai, Pei-Ling, 2011. "Internal liquidity risk in corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 978-987, April.
  10. Kedar nath Mukherjee, 2019. "Demystifying Yield Spread on Corporate Bonds Trades in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 253-284, June.
  11. Valenzuela, Patricio, 2013. "Rollover Risk and Corporate Bond Spreads," Working Papers 13-10, University of Pennsylvania, Wharton School, Weiss Center.
  12. Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013. "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
  13. Xiong, Qizhou, 2018. "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers 11/2017, Halle Institute for Economic Research (IWH), revised 2018.
  14. Zhang, Jinqing & He, Liang & An, Yunbi, 2020. "Measuring banks’ liquidity risk: An option-pricing approach," Journal of Banking & Finance, Elsevier, vol. 111(C).
  15. Francisco Castañeda & Víctor Caro & Franco Contreras, 2017. "Spreads Determinants of Corporate Bonds in State-Owned Companies. The COLDECO Case," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(4), pages 431-446, Octubre-D.
  16. Nejadmalayeri, Ali & Singh, Manohar, 2012. "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2900-2916.
  17. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
  18. Shin, Dongheon & Kim, Baeho, 2015. "Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 38-61.
  19. Herrmann, Leonie & Stolper, Oscar A., 2017. "Investor familiarity and corporate debt financing conditions," Finance Research Letters, Elsevier, vol. 23(C), pages 263-268.
  20. Chengzhu Sun & Shujing Wang & Chu Zhang, 2021. "Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets," Management Science, INFORMS, vol. 67(9), pages 5755-5775, September.
  21. Distinguin, Isabelle & Kouassi, Tchudjane & Tarazi, Amine, 2013. "Interbank deposits and market discipline: Evidence from Central and Eastern Europe," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 544-560.
  22. Chunjing Wang & Jinming Qu, 2020. "Analysis of the Pro-cyclical Behavior of Credit Spread in Chinese Bond Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-8.
  23. Woon Wong & Iris Biefang-Frisancho Mariscal & Peter Howells, 2019. "Liquidity and credit risks in the UK’s financial crisis: how ‘quantitative easing’ changed the relationship," Applied Economics, Taylor & Francis Journals, vol. 51(3), pages 278-287, January.
  24. repec:zbw:bofrdp:2014_009 is not listed on IDEAS
  25. Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018. "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin 1740, DIW Berlin, German Institute for Economic Research.
  26. Ye, Zhen & Zhang, Fangzhu & Coffman, D’Maris & Xia, Senmao & Wang, Zhifeng & Zhu, Zhonghua, 2022. "China’s urban construction investment bond: Contextualising a financial tool for local government," Land Use Policy, Elsevier, vol. 112(C).
  27. Jonathan Witmer, 2017. "Strategic Complementarities and Money Market Fund Liquidity Management," Staff Working Papers 17-14, Bank of Canada.
  28. Dennis Vink & Frank Fabozzi, 2009. "Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings," Yale School of Management Working Papers amz2493, Yale School of Management.
  29. Lugo, Stefano, 2023. "Cost of monitoring and risk taking in the money market funds industry," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  30. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
  31. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  32. Cici, Gjergji & Zhang, Pei (Alex), 2021. "On the valuation skills of corporate bond mutual funds," CFR Working Papers 21-05, University of Cologne, Centre for Financial Research (CFR).
  33. Balasubramnian, Bhanu & Cyree, Ken B., 2014. "Has market discipline on banks improved after the Dodd–Frank Act?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 155-166.
  34. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2014. "Do private signals of a bank s creditworthiness predict the bank s CDS price? : Evidence from the Eurosystem's overnight loan rates," Research Discussion Papers 9/2014, Bank of Finland.
  35. Eugenia Andreasen & Martin Schindler & Patricio Valenzuela, 2019. "Capital Controls and the Cost of Debt," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(2), pages 288-314, June.
  36. Jing-Zhi Huang & Bibo Liu & Zhan Shi, 2023. "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market," Review of Finance, European Finance Association, vol. 27(2), pages 539-579.
  37. Witmer, Jonathan, 2016. "Does the buck stop here? A comparison of withdrawals from money market mutual funds with floating and constant share prices," Journal of Banking & Finance, Elsevier, vol. 66(C), pages 126-142.
  38. Daniel M. Covitz & J. Nellie Liang & Gustavo A. Suarez, 2009. "The evolution of a financial crisis: panic in the asset-backed commercial paper market," Finance and Economics Discussion Series 2009-36, Board of Governors of the Federal Reserve System (U.S.).
  39. Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
  40. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2017. "Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 93-106.
  41. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  42. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  43. Anthony Jerome Anderson & Michael Stuart Long, 2017. "Explaining the On-The-Run Puzzle with Corporate Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-36, June.
  44. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4014-4024.
  45. Nejadmalayeri, Ali & Mathur, Ike & Singh, Manohar, 2013. "Product market advertising and corporate bonds," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 78-94.
  46. Lucchetta, Marcella, 2015. "Does the bank risk concentration freeze the interbank system?," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 149-166.
  47. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
  48. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
  49. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
  50. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  51. Ali Nejadmalayeri & Subramanian Rama Iyer & Manohar Singh, 2017. "Is there an optimally diversified conglomerate? Gleaning answers from capital markets," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 117-158, July.
  52. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
  53. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2014. "Do private signals of a bank s creditworthiness predict the bank s CDS price? Evidence from the Eurosystem's overnight loan rates," Bank of Finland Research Discussion Papers 9/2014, Bank of Finland.
  54. Wang, Shujing & Yan, Hongjun & Zhong, Ninghua & Tang, Yizhou, 2024. "Indirect effects of trading restrictions," Journal of Corporate Finance, Elsevier, vol. 86(C).
  55. Donatien Hainaut, 2016. "A bivariate Hawkes process based model, for interest rates," Post-Print hal-01458162, HAL.
  56. Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen, 2012. "Why Do Banks Default When Asset Quality Is High?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 83-96.
  57. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
  58. Lu, Chia-Wu & Chen, Tsung-Kang & Liao, Hsien-Hsing, 2010. "Information uncertainty, information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2265-2279, September.
  59. de Jong, F.C.J.M. & Driessen, J.J.A.G., 2015. "Can large long-term investors capture illiquidity premiums," Other publications TiSEM 9c92b978-0099-44d3-9aab-8, Tilburg University, School of Economics and Management.
  60. Huang, Alan G. & Kalimipalli, Madhu & Nayak, Subhankar & Ramchand, Latha, 2019. "Risk mitigation by institutional participants in the secondary market: Evidence from foreign Rule 144A debt market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 202-221.
  61. Abankwa, Samuel & Blenman, Lloyd P., 2021. "Measuring liquidity risk effects on carry trades across currencies and regimes," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
  62. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.
  63. Akay, Ozgur (Ozzy) & Griffiths, Mark D. & Kotomin, Vladimir & Winters, Drew B., 2013. "A look inside AMLF: What traded and who benefited," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1643-1657.
  64. Feng, Yuruo & Hao, Wei & Fang, Jiali & Wongchoti, Udomsak, 2024. "In the radiance of enlightenment: The influence of nontheistic religions on corporate default risk," Emerging Markets Review, Elsevier, vol. 60(C).
  65. Timmermann, Allan & Schmidt, Lawrence & , & Wermers, Russ, 2017. "Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis," CEPR Discussion Papers 11895, C.E.P.R. Discussion Papers.
  66. Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
  67. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
  68. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 21-35, January.
  69. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Center for Research in Economics and Statistics.
  70. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  71. Erkens, David H. & Hung, Mingyi & Matos, Pedro, 2012. "Corporate governance in the 2007–2008 financial crisis: Evidence from financial institutions worldwide," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 389-411.
  72. Efraim Benmelech & Nittai Bergman, 2018. "Debt, Information, and Illiquidity," NBER Working Papers 25054, National Bureau of Economic Research, Inc.
  73. Xueying Zhang & Shansheng Gao & Jian Jiao, 2018. "Moral Hazard Effects of Corporate Bond Guarantee Purchases: Empirical Evidence from China," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 100-115.
  74. Chen, Hsiao-Jung & Lin, Kuan-Ting, 2016. "How do banks make the trade-offs among risks? The role of corporate governance," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 39-69.
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