کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084747 1477916 2015 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of liquidity on senior credit index spreads during the subprime crisis
ترجمه فارسی عنوان
تأثیر نقدینگی بر شاخص اعتباری ارشد در طول بحران بدهی تحت پوشش قرار می گیرد
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 37, January 2015, Pages 148-167
نویسندگان
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