Publication: The macroeconomic sources of credit risk
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2013-05
Defense date
2013-07-10
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Abstract
Esta tesis estudia las fuentes macroeconómicas del riesgo de crédito, proporcionando un análisis en tres dimensiones: corporativa, soberana, y política. El primer capítulo estudia las fuentes macroeconómicas de los excesos de rendimiento de los bonos corporativos. La evidencia empírica sugiere la existencia de un riesgo sistemático que está siendo valorado en las primas de crédito corporativas, así como la existencia de una transferencia de riesgo público-a-privado entre los mercados de crédito soberano y corporativo. El segundo capítulo explora la transferencia de riesgo soberano entre economías pertenecientes a una misma área monetaria. Encontramos que el mercado soberano de crédito permite un canal de trasferencia de riesgo desde los países con problemas de nanciación hacia el resto de países a través del precio del riesgo de crédito. Finalmente, el tercer capítulo discute el papel de las autoridades monetarias en cuanto a la gestión del riesgo sistémico. Documentamos una respuesta asimétrica del riesgo sistémico a las actuaciones de las diferentes autoridades monetarias
This thesis studies the macroeconomic sources of credit risk, providing an analysis in three di erent dimensions: corporate, sovereign, and policy. The rst chapter addresses the macroeconomic sources of corporate bond excess returns. The empirical evidence suggests the existence of a systematic risk being priced in the corporate spreads, and a public-to-private risk transfer between the sovereign and corporate credit markets. The second chapter explores the risk spillovers between nancially distressed and nondistressed economies. I nd that the sovereign credit market enables a risk transmission channel from riskier to healthier economies through the default risk premia. Finally, the third chapter discusses the role of monetary authorities on managing systemic risk. I document an asymmetric response of systemic risk to actions from di erent monetary authorities
This thesis studies the macroeconomic sources of credit risk, providing an analysis in three di erent dimensions: corporate, sovereign, and policy. The rst chapter addresses the macroeconomic sources of corporate bond excess returns. The empirical evidence suggests the existence of a systematic risk being priced in the corporate spreads, and a public-to-private risk transfer between the sovereign and corporate credit markets. The second chapter explores the risk spillovers between nancially distressed and nondistressed economies. I nd that the sovereign credit market enables a risk transmission channel from riskier to healthier economies through the default risk premia. Finally, the third chapter discusses the role of monetary authorities on managing systemic risk. I document an asymmetric response of systemic risk to actions from di erent monetary authorities
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Riesgo del crédito, Productos financieros derivados, Crédito, Unión Europea, Política monetaria