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首页> 外文会议>2008 China international conference in finance >Market Conditions, Default Risk and Credit Spreads
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Market Conditions, Default Risk and Credit Spreads

机译：市场状况，违约风险和信用利差

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摘要

This study conducts an empirical examination of the impact of market conditions on credit spreads motivated by recently developed structural credit risk models. Using CDS spreads for credit spreads, we find that in the time series, credit spreads are decreasing in GDP growth rate, but increasing in GDP growth volatility. Credit spreads are also lower when investor sentiment is high and when the systematic jump risk is low. In the cross section, we confirm that cash flow volatility raises credit spreads. More importantly, we demonstrate that the impact of market conditions is substantially affected by firm heterogeneity. We show that during economic expansions, ceteris paribus, firms with high cash flow betas have lower credit spreads than those with low cash flow betas. This relation disappears during economic recessions, consistent with theoretical predictions.
机译：这项研究对最近开发的结构性信用风险模型所激发的市场条件对信用利差的影响进行了实证检验。使用CDS利差作为信贷利差，我们发现在时间序列中，信贷利差的GDP增长率正在下降，但GDP增长率的波动性却在增加。当投资者情绪高涨且系统跳跃风险低时，信用息差也较低。在横截面中，我们确认现金流量波动会增加信贷息差。更重要的是，我们证明了市场状况的影响很大程度上受企业异质性的影响。我们发现，在经济扩张过程中，现金流贝塔值较高的公司要比现金流贝塔值较低的公司具有较低的信用利差。这种关系在经济衰退期间消失了，这与理论预测一致。

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