全球智库信息集成服务系统(G2TT): Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w20638
来源ID	Working Paper 20638
	Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
	Hui Chen; Rui Cui; Zhiguo He; Konstantin Milbradt
发表日期	2014-11-03
出版年	2014
语种	英语
摘要	We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle. Across different credit ratings, our calibrated model can simultaneously match the average default probabilities, credit spreads, and bond liquidity measures including Bond-CDS spreads and bid-ask spreads in the data. Through a structural decomposition, we show that the interactions between liquidity and default risk account for 25∼40% of the observed credit spreads and up to 55% of the credit spread changes over the business cycle. As an application, we use this framework to quantitatively evaluate the effects of liquidity-provision policies for the corporate bond market.
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions
URL	https://www.nber.org/papers/w20638
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/578313
推荐引用方式 GB/T 7714	Hui Chen,Rui Cui,Zhiguo He,et al. Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle. 2014.