Temat: bond spreads - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Do Enhanced Collective Action Clauses Affect Sovereign Borrowing Costs?
Autorzy:: Chung, Kay
Papaioannou, Michael G.
Powiązania:: https://bibliotekanauki.pl/articles/2048280.pdf
Data publikacji:: 2021-10-22
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: collective action clause
sovereign bond contractual clause
governing law
default
bond spreads
sovereign cost of borrowing
sovereign debt restructuring
Opis:: This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs, introduced in August 2014, is associated with lower borrowing costs for both noninvestment-grade and investment-grade issuers. These results suggest that market participants do not associate the use of CACs and enhanced CACs with borrowers’ moral hazard, but instead consider their implied benefits of an orderly and efficient debt resolution process in case of restructuring.
Źródło:: Journal of Banking and Financial Economics; 2021, 1(15); 59-87
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands
Autorzy:: Staszewska-Bystrova, Anna
Winker, Peter
Powiązania:: https://bibliotekanauki.pl/articles/483249.pdf
Data publikacji:: 2014
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: forecasts
corporate bond spreads
prediction bands
Opis:: The recent financial crisis has seen huge swings in corporate bond spreads. It is analyzed what quality VAR-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial market prices are subject to large uncertainty independent of the class of models used, major emphasis is put on the quality of measures of forecast uncertainty. The VAR considered is based on a model first suggested in the literature in 2005. In a rolling window analysis, both the model’s forecasts and joint prediction bands are calculated making use of recently proposed methods. Besides a traditional analysis of the forecast quality, the performance of the proposed prediction bands is assessed. It is shown that the actual coverage of joint prediction bands is superior to the coverage of naïve prediction bands constructed pointwise.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2014, 2; 89-104
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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