Aggregate Risk in the Term Structure of Corporate Credit

Johannes Poeschl and Ram Yamarthy

No 22-02, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: Higher rates of default can occur when corporations have difficulty accessing short- and long- term credit markets, increasing risks to financial stability. This paper uses credit spread data across different maturities to study what the shape and risk sensitivity of a firm's term structure can tell us about its fragility. Firms that are more financially constrained display a negatively sloped credit spread curve, have short-term spreads that are more sensitive to aggregate conditions, and face heightened rollover risks. Such financing fragility at the short end of the curve can harm a firm's ability to take advantage of investment opportunities (Working Paper no. 22-02).

Date: 2022-04-14
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.financialresearch.gov/working-papers/f ... corporate-credit.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ofr:wpaper:22-02

Access Statistics for this paper

More papers in Working Papers from Office of Financial Research, US Department of the Treasury Contact information at EDIRC.
Bibliographic data for series maintained by Corey Garriott ().