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The Global Credit Spread Puzzle
We examine the ability of structural models to predict credit spreads using global default data and security-level credit spread data in eight developed economies. We find that two representative, pure default-risk models tend to underpredict the average credit spreads on investment-grade (IG) bonds, especially their spreads over government bonds, thereby providing evidence for a “global credit spread puzzle.” However, a model incorporating endogenous liquidity in the secondary debt market helps mitigate the puzzle. Furthermore, the model captures certain determinants of corporate bond market frictions across the eight economies and substantially improves the cross-sectional fit of individual IG credit spreads.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2025 |
|---|---|
| Edisi | Volume 80, Issue 1, February 2025, Pages 101-162 |
| Subjek | Credit Markets Investment-Grade Bonds credit spread data |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | ill, chart, table, grafik, 649 hal, 20 cm |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |