文章基本信息

标题：Are Corporate Bond Defaults Contagious across Sectors?
本地全文：下载
作者：Colin Ellis
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2020
卷号：8
期号：1
页码：1
DOI：10.3390/ijfs8010001
语种：English
出版社：MDPI, Open Access Journal
摘要：Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors#8212;specifically, defaults in one sector leading to credit stresses in other sectors of the economy that would not otherwise have seen stresses. To complicate matters, simple correlation-based tests for contagion are often biased, reflecting increased volatility in periods of stress. This paper uses sectoral default data from over 30 sectors to test for signs of contagion over the past 30 years. While jumps in sectoral default rates do often coincide, there is no consistent evidence of contagion across different periods of stress from unbiased test results. Instead, coincident jumps in sectoral default rates are likely to reflect common macroeconomic shocks.