Macroeconomic News Announcements and Corporate Bond Credit Spreads

Huang, Jing-Zhi; Kong, Weipeng

doi:10.2139/ssrn.693341

Cited by 19 publications

(14 citation statements)

References 19 publications

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“…A few studies analyse corporate bonds as well: for instance, Huang and Kong (2007) provide evidence that macro announcements mainly affect high-yield corporate bonds.…”

Section: Introductionmentioning

confidence: 99%

Macro news and bond yield spreads in the euro area

Caporale

Spagnolo

2017

The European Journal of Finance

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This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999-2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on yield spreads in all GIIPS (Greece, Ireland, Italy, Portugal and Spain) countries but Italy before September 2008; markets respond more to negative news, and their reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility, the effects being more pronounced in the case of negative news and bigger in the most recent crisis period, especially in the GIIPS countries. Further, the conditional correlations between yield spreads and negative news increase in absolute value during the financial crisis (especially in the GIIPS countries), indicating a higher sensitivity of the former to the latter. ARTICLE HISTORY

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“…A few studies analyse corporate bonds as well: for instance, Huang and Kong (2007) provide evidence that macro announcements mainly affect high-yield corporate bonds.…”

Section: Introductionmentioning

confidence: 99%

Macro news and bond yield spreads in the euro area

Caporale

Spagnolo

2017

The European Journal of Finance

View full text Add to dashboard Cite

show abstract

“…Ang and Patel, 1975;Kaplan and Urwitz, 1979;Blume et al, 1998), or bond spreads (e.g. Wu and Zhang, 2004;Huang and Kong, 2005;Collin-Dufresne et al, 2001;Longstaff and Rajan, 2006). First, CDS spreads offer cross-sectional and time-series credit quality information.…”

Section: Introductionmentioning

confidence: 99%