Macroeconomic uncertainty and credit default swap spreads

References

• Arnold , IJM and Vrugt , EB . 2008 . Fundamental uncertainty and stock market volatility . Applied Financial Economics , 18 : 1425 – 40 .
   Google Scholar
• Arshanapalli , B , d’Ouville , E , Fabozzi , F and Switzer , L . 2006 . Macroeconomic news effects on conditional volatilities in the bond and stock markets . Applied Financial Economics , 16 : 377 – 84 .
   Google Scholar
• Baum , CF . 2001 . DENTON: Stata module to interpolate a quarterly flow series from annual totals via proportional Denton method Statistical Software Components, Boston College Department of Economics. Available at http://ideas.repec.org/c/boc/bocode/s422501.html (accessed 9 April 2010)
   Google Scholar
• Baum , CF , Caglayan , M , Ozkan , N and Talavera , O . 2006 . The impact of macroeconomic uncertainty on non-financial firms’ demand for liquidity . Review of Financial Economics , 15 : 289 – 304 .
   Google Scholar
• Baum , CF , Chakraborty , A and Liu , B . 2010 . The impact of macroeconomic uncertainty on firms’ changes in financial leverage . International Journal of Finance and Economics , 15 : 22 – 30 .
   Web of Science ®Google Scholar
• Baum , CF , Stephan , A and Talavera , O . 2009 . The effects of uncertainty on the leverage of nonfinancial firms . Economic Inquiry , 47 : 216 – 25 .
   Google Scholar
• Blanco , R , Brennan , S and Marsh , IW . 2005 . An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps . Journal of Finance , 60 : 2255 – 81 .
   Web of Science ®Google Scholar
• Bongaerts, D., de Jong, F. and Driessen, J. (2008) Liquidity and liquidity risk premia in the CDS market, Working Paper, University of Amsterdam.
   Google Scholar
• Byrne , JP and Davis , EP . 2002 . Investment and uncertainty in the G7 , Discussion Papers London : National Institute of Economic Research .
   Google Scholar
• Campbell , JY and Taksler , GB . 2003 . Equity volatility and corporate bond yields . Journal of Finance , 58 : 2321 – 50 .
   Web of Science ®Google Scholar
• Chen , L , Lesmond , DA and Wei , J . 2007 . Corporate yield spreads and bond liquidity . Journal of Finance , 62 : 119 – 49 .
   Web of Science ®Google Scholar
• Coles , JL , Daniel , ND and Naveen , L . 2006 . Managerial incentives and risk-taking . Journal of Financial Economics , 79 : 431 – 68 .
   Web of Science ®Google Scholar
• Driver , C , Temple , P and Urga , G . 2005 . Profitability, capacity, and uncertainty: a model of UK manufacturing investment . Oxford Economic Papers , 57 : 120 – 41 .
   Web of Science ®Google Scholar
• Elton , EJ , Gruber , MJ , Agrawal , D and Mann , C . 2004 . Factors affecting the valuation of corporate bonds . Journal of Banking and Finance , 28 : 2747 – 67 .
   Web of Science ®Google Scholar
• Ghosal , V and Loungani , P . 2000 . The differential impact of uncertainty on investment in small and large business . The Review of Economics and Statistics , 82 : 338 – 49 .
   Web of Science ®Google Scholar
• Graham , JR and Harvey , CR . 2001 . The theory and practice of corporate finance: evidence from the field . Journal of Financial Economics , 60 : 187 – 243 .
   Web of Science ®Google Scholar
• Graham , JR , Harvey , CR and Puri , M . 2009 . “ Managerial attitudes and corporate actions ” . Working Paper Duke University .
   Google Scholar
• Houweling , P , Mentink , A and Vorst , T . 2005 . Comparing possible proxies of corporate bond liquidity . Journal of Banking and Finance , 29 : 1331 – 58 .
   Web of Science ®Google Scholar
• Houweling , P and Vorst , T . 2005 . Pricing default swaps: empirical evidence . Journal of International Money and Finance , 24 : 1200 – 25 .
   Web of Science ®Google Scholar
• Hull , J , Predescu , M and White , A . 2004 . The relationship between credit default swap spreads, bond yields, and credit rating announcements . Journal of Banking and Finance , 28 : 2789 – 811 .
   Web of Science ®Google Scholar
• Jin , L . 2002 . CEO compensation, diversification, and incentives . Journal of Financial Economics , 66 : 29 – 63 .
   Web of Science ®Google Scholar
• John , TA and John , K . 1993 . Top-management compensation and capital structure . Journal of Finance , 48 : 949 – 74 .
   Web of Science ®Google Scholar
• Knopf , JD , Nam , J and Thornton , JH . 2002 . The volatility and price sensitivities of managerial stock option portfolios and corporate hedging . Journal of Finance , 57 : 801 – 13 .
   Web of Science ®Google Scholar
• Korajczyk , RA and Levy , A . 2003 . Capital structure choice: macroeconomic conditions and financial constraints . Journal of Financial Economics , 68 : 75 – 109 .
   Web of Science ®Google Scholar
• Longstaff , FA , Mithal , S and Neis , E . 2005 . Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market . Journal of Finance , 60 : 2213 – 53 .
   Web of Science ®Google Scholar
• Norden , L and Weber , M . 2004 . Informational efficiency of credit default swap and stock markets: the impact of credit rating announcements . Journal of Banking and Finance , 28 : 2813 – 43 .
   Web of Science ®Google Scholar
• Pan , J and Singleton , KJ . 2008 . Default and recovery implicit in the term structure of sovereign CDS spreads . Journal of Finance , 63 : 2345 – 84 .
   Web of Science ®Google Scholar
• Rajgopal , S and Shevlin , T . 2002 . Empirical evidence on the relation between stock option compensation and risk taking . Journal of Accounting and Economics , 33 : 145 – 71 .
   Web of Science ®Google Scholar
• Schmukler , S , Mehrez , G and Kaufmann , D . 1999 . “ Predicting currency fluctuations and crises–do resident firms have an informational advantage? ” . Policy Research Working Paper No. 2259 The World Bank .
   Google Scholar
• Tang , DY and Yan , H . 2006 . Macroeconomic conditions, firm characteristics, and credit spreads . Journal of Financial Services Research , 29 : 177 – 210 .
   Google Scholar
• Tang , DY and Yan , H . 2008a . “ Liquidity and credit default swap spreads ” . Working Paper Series EFA 2008 Conference
   Google Scholar
• Tang , DY and Yan , H . 2008b . “ Market conditions, default risk and credit spreads ” . Discussion Paper Series No. 2, Banking and Financial Studies 2008 Deutsche Bundesbank, Research Centre .
   Google Scholar
• Teixeira , JCA . 2007 . An empirical analysis of structural models of corporate debt pricing . Applied Financial Economics , 17 : 1141 – 65 .
   Google Scholar
• Zhang , BY , Zhou , H and Zhu , H . 2005 . “ Explaining credit default swap spreads with the equity volatility and jump risks of individual firms ” . Finance and Economics Discussion Series No. 2005-63 US : Board of Governors of the Federal Reserve System .
   Google Scholar
• Zhu , H . 2006 . An empirical comparison of credit spreads between the bond market and the credit default swap market . Journal of Financial Services Research , 29 : 211 – 35 .
   Google Scholar