| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26494 |
| 来源ID | Working Paper 26494 |
| Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress | |
| Zhiguo He; Paymon Khorrami; Zhaogang Song | |
| 发表日期 | 2019-11-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Two intermediary-based factors - a broad financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variation of credit spread changes beyond canonical structural factors. A simple model, in which intermediaries facing margin constraints absorb supply of assets from customers, accounts for the documented explanatory power and delivers further implications with empirical support. First, whereas bond sorts on margin-related variables (credit rating and leverage) produce monotonic patterns in loadings on intermediary factors, non-margin-related sorts produce no pattern. Second, dealer inventory co-moves with corporate-credit assets only, whereas intermediary distress co-moves even with non-corporate-credit assets. Third, dealers' inventory increases, and bond prices decline, in response to instrumented bond sales by institutional investors, using severe downgrades ("fallen angels'') and disaster-related insurance losses as IVs. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w26494 |
| 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/584166 |
| 推荐引用方式 GB/T 7714 | Zhiguo He,Paymon Khorrami,Zhaogang Song. Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26494.pdf（796KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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