haku: @indexterm stocks / yhteensä: 197
viite: 4 / 197
| Tekijä: | Giesecke, K. (et. al) |
| Otsikko: | Corporate bond default risk: a 150-year perspective |
| Lehti: | Journal of Financial Economics
2011 : NOV, VOL. 102:2, p. 233-250 |
| Asiasana: | defaults bankruptcy forecasting credit stocks gross national product bonds |
| Kieli: | eng |
| Tiivistelmä: | We examine corporate bond default rates using an extensive new data set containing the years 1866-2008. The corporate bond market is found to have repeatedly suffered clustered default events much worse than those in the Great Depression. For example, during the railroad crisis in 1873-1875, total defaults rose to 36% of the entire corporate bond market's par value. Using a regime-switching model, we inspect how well default rates can be predicted by financial and macroeconomic variables. Stock returns, stock return volatility, and changes in GDP are found to strongly predict default rates, whereas, surprisingly, credit spreads are not. In the long term, credit spreads are about twice as large as default losses, resulting in an average credit risk premium of roughly 80 basis points. Credit spreads are also found not adjusting in response to realized default rates. |
SCIMA