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• W2975885284 abstract "This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results suggest that the long-term factor of the yield curve is a negatively significant determinant of the CDS premia regardless of the sector and market state. The CDS spread of the financial sector exhibits sensitivity to the short-term factor of the yield rate in extreme market states. Basic materials, oil and gas and the utilities sector are responsive to variations in the medium-term factor of the yield rate in upmarket conditions. The empirical findings also suggest a significant inverse relationship between CDS spreads and stock returns." @default.
• W2975885284 created "2019-10-03" @default.
• W2975885284 creator A5025002937 @default.
• W2975885284 date "2019-09-29" @default.
• W2975885284 modified "2023-09-23" @default.
• W2975885284 title "Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions" @default.
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• W2975885284 doi "https://doi.org/10.3390/jrfm12040158" @default.
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