Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market

This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error corre...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Daniel Ilg [verfasserIn]

Format:	Artikel
Sprache:	Englisch

Erschienen:	2015

Schlagwörter:	High yield investments Macroeconomics Studies Credit risk Leverage

Übergeordnetes Werk:	Enthalten in: The journal of fixed income - London : IPR Journals, 1991, 24(2015), 3, Seite 64-76
Übergeordnetes Werk:	volume:24 ; year:2015 ; number:3 ; pages:64-76

Links:	Volltext Link aufrufen

DOI / URN:	10.3905/jfi.2014.24.3.064

Katalog-ID:	OLC1959112929

Internformat


LEADER	01000caa a2200265 4500
001	OLC1959112929
003	DE-627
005	20230714150607.0
007	tu
008	160206s2015 xx \|\|\|\|\| 00\| \|\|eng c
024	7		\|a 10.3905/jfi.2014.24.3.064 \|2 doi
028	5	2	\|a PQ20160617
035			\|a (DE-627)OLC1959112929
035			\|a (DE-599)GBVOLC1959112929
035			\|a (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830
035			\|a (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon
040			\|a DE-627 \|b ger \|c DE-627 \|e rakwb
041			\|a eng
082	0	4	\|a 330 \|a 650 \|q DNB
084			\|a 83.00 \|2 bkl
100	0		\|a Daniel Ilg \|e verfasserin \|4 aut
245	1	0	\|a Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
264		1	\|c 2015
336			\|a Text \|b txt \|2 rdacontent
337			\|a ohne Hilfsmittel zu benutzen \|b n \|2 rdamedia
338			\|a Band \|b nc \|2 rdacarrier
520			\|a This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.
650		4	\|a High yield investments
650		4	\|a Macroeconomics
650		4	\|a Studies
650		4	\|a Credit risk
650		4	\|a Leverage
773	0	8	\|i Enthalten in \|t The journal of fixed income \|d London : IPR Journals, 1991 \|g 24(2015), 3, Seite 64-76 \|w (DE-627)170850188 \|w (DE-600)1116103-6 \|w (DE-576)032733518 \|x 1059-8596 \|7 nnns
773	1	8	\|g volume:24 \|g year:2015 \|g number:3 \|g pages:64-76
856	4	1	\|u http://dx.doi.org/10.3905/jfi.2014.24.3.064 \|3 Volltext
856	4	2	\|u http://search.proquest.com/docview/1646328487
912			\|a GBV_USEFLAG_A
912			\|a SYSFLAG_A
912			\|a GBV_OLC
912			\|a SSG-OLC-WIW
912			\|a GBV_ILN_26
912			\|a GBV_ILN_40
912			\|a GBV_ILN_130
912			\|a GBV_ILN_2002
912			\|a GBV_ILN_2014
936	b	k	\|a 83.00 \|q AVZ
951			\|a AR
952			\|d 24 \|j 2015 \|e 3 \|h 64-76

Indexfelder

author_variant	d i di
matchkey_str	article:10598596:2015----::ogurltosibtenealrtsnmcocnmcaibeit
hierarchy_sort_str	2015
bklnumber	83.00
publishDate	2015
allfields	10.3905/jfi.2014.24.3.064 doi PQ20160617 (DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Daniel Ilg verfasserin aut Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market. High yield investments Macroeconomics Studies Credit risk Leverage Enthalten in The journal of fixed income London : IPR Journals, 1991 24(2015), 3, Seite 64-76 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:24 year:2015 number:3 pages:64-76 http://dx.doi.org/10.3905/jfi.2014.24.3.064 Volltext http://search.proquest.com/docview/1646328487 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 24 2015 3 64-76
spelling	10.3905/jfi.2014.24.3.064 doi PQ20160617 (DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Daniel Ilg verfasserin aut Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market. High yield investments Macroeconomics Studies Credit risk Leverage Enthalten in The journal of fixed income London : IPR Journals, 1991 24(2015), 3, Seite 64-76 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:24 year:2015 number:3 pages:64-76 http://dx.doi.org/10.3905/jfi.2014.24.3.064 Volltext http://search.proquest.com/docview/1646328487 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 24 2015 3 64-76
allfields_unstemmed	10.3905/jfi.2014.24.3.064 doi PQ20160617 (DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Daniel Ilg verfasserin aut Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market. High yield investments Macroeconomics Studies Credit risk Leverage Enthalten in The journal of fixed income London : IPR Journals, 1991 24(2015), 3, Seite 64-76 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:24 year:2015 number:3 pages:64-76 http://dx.doi.org/10.3905/jfi.2014.24.3.064 Volltext http://search.proquest.com/docview/1646328487 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 24 2015 3 64-76
allfieldsGer	10.3905/jfi.2014.24.3.064 doi PQ20160617 (DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Daniel Ilg verfasserin aut Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market. High yield investments Macroeconomics Studies Credit risk Leverage Enthalten in The journal of fixed income London : IPR Journals, 1991 24(2015), 3, Seite 64-76 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:24 year:2015 number:3 pages:64-76 http://dx.doi.org/10.3905/jfi.2014.24.3.064 Volltext http://search.proquest.com/docview/1646328487 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 24 2015 3 64-76
allfieldsSound	10.3905/jfi.2014.24.3.064 doi PQ20160617 (DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon DE-627 ger DE-627 rakwb eng 330 650 DNB 83.00 bkl Daniel Ilg verfasserin aut Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market. High yield investments Macroeconomics Studies Credit risk Leverage Enthalten in The journal of fixed income London : IPR Journals, 1991 24(2015), 3, Seite 64-76 (DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518 1059-8596 nnns volume:24 year:2015 number:3 pages:64-76 http://dx.doi.org/10.3905/jfi.2014.24.3.064 Volltext http://search.proquest.com/docview/1646328487 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014 83.00 AVZ AR 24 2015 3 64-76
language	English
source	Enthalten in The journal of fixed income 24(2015), 3, Seite 64-76 volume:24 year:2015 number:3 pages:64-76
sourceStr	Enthalten in The journal of fixed income 24(2015), 3, Seite 64-76 volume:24 year:2015 number:3 pages:64-76
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	High yield investments Macroeconomics Studies Credit risk Leverage
dewey-raw	330
isfreeaccess_bool	false
container_title	The journal of fixed income
authorswithroles_txt_mv	Daniel Ilg @@aut@@
publishDateDaySort_date	2015-01-01T00:00:00Z
hierarchy_top_id	170850188
dewey-sort	3330
id	OLC1959112929
language_de	englisch
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a2200265 4500</leader><controlfield tag="001">OLC1959112929</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230714150607.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">160206s2015 xx \|\|\|\|\| 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.3905/jfi.2014.24.3.064</subfield><subfield code="2">doi</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">PQ20160617</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC1959112929</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBVOLC1959112929</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="a">650</subfield><subfield code="q">DNB</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">83.00</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="0" ind2=" "><subfield code="a">Daniel Ilg</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">High yield investments</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Macroeconomics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Studies</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit risk</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Leverage</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">The journal of fixed income</subfield><subfield code="d">London : IPR Journals, 1991</subfield><subfield code="g">24(2015), 3, Seite 64-76</subfield><subfield code="w">(DE-627)170850188</subfield><subfield code="w">(DE-600)1116103-6</subfield><subfield code="w">(DE-576)032733518</subfield><subfield code="x">1059-8596</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:24</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:3</subfield><subfield code="g">pages:64-76</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://dx.doi.org/10.3905/jfi.2014.24.3.064</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">http://search.proquest.com/docview/1646328487</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_130</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2002</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">83.00</subfield><subfield code="q">AVZ</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">24</subfield><subfield code="j">2015</subfield><subfield code="e">3</subfield><subfield code="h">64-76</subfield></datafield></record></collection>
author	Daniel Ilg
spellingShingle	Daniel Ilg ddc 330 bkl 83.00 misc High yield investments misc Macroeconomics misc Studies misc Credit risk misc Leverage Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
authorStr	Daniel Ilg
ppnlink_with_tag_str_mv	@@773@@(DE-627)170850188
format	Article
dewey-ones	330 - Economics 650 - Management & auxiliary services
delete_txt_mv	keep
author_role	aut
collection	OLC
remote_str	false
illustrated	Not Illustrated
issn	1059-8596
topic_title	330 650 DNB 83.00 bkl Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market High yield investments Macroeconomics Studies Credit risk Leverage
topic	ddc 330 bkl 83.00 misc High yield investments misc Macroeconomics misc Studies misc Credit risk misc Leverage
topic_unstemmed	ddc 330 bkl 83.00 misc High yield investments misc Macroeconomics misc Studies misc Credit risk misc Leverage
topic_browse	ddc 330 bkl 83.00 misc High yield investments misc Macroeconomics misc Studies misc Credit risk misc Leverage
format_facet	Aufsätze Gedruckte Aufsätze
format_main_str_mv	Text Zeitschrift/Artikel
carriertype_str_mv	nc
hierarchy_parent_title	The journal of fixed income
hierarchy_parent_id	170850188
dewey-tens	330 - Economics 650 - Management & public relations
hierarchy_top_title	The journal of fixed income
isfreeaccess_txt	false
familylinks_str_mv	(DE-627)170850188 (DE-600)1116103-6 (DE-576)032733518
title	Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
ctrlnum	(DE-627)OLC1959112929 (DE-599)GBVOLC1959112929 (PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830 (KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon
title_full	Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
author_sort	Daniel Ilg
journal	The journal of fixed income
journalStr	The journal of fixed income
lang_code	eng
isOA_bool	false
dewey-hundreds	300 - Social sciences 600 - Technology
recordtype	marc
publishDateSort	2015
contenttype_str_mv	txt
container_start_page	64
author_browse	Daniel Ilg
container_volume	24
class	330 650 DNB 83.00 bkl
format_se	Aufsätze
author-letter	Daniel Ilg
doi_str_mv	10.3905/jfi.2014.24.3.064
dewey-full	330 650
title_sort	long-run relationship between default rates and macroeconomic variables in the u.s. leveraged loan market
title_auth	Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
abstract	This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.
abstractGer	This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.
abstract_unstemmed	This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.
collection_details	GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_40 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2014
container_issue	3
title_short	Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market
url	http://dx.doi.org/10.3905/jfi.2014.24.3.064 http://search.proquest.com/docview/1646328487
remote_bool	false
ppnlink	170850188
mediatype_str_mv	n
isOA_txt	false
hochschulschrift_bool	false
doi_str	10.3905/jfi.2014.24.3.064
up_date	2024-07-03T15:55:25.267Z
_version_	1803573920026066944
fullrecord_marcxml	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a2200265 4500</leader><controlfield tag="001">OLC1959112929</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230714150607.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">160206s2015 xx \|\|\|\|\| 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.3905/jfi.2014.24.3.064</subfield><subfield code="2">doi</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">PQ20160617</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC1959112929</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBVOLC1959112929</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(PRQ)c937-bd08e9da2b5ce9235f243f954239e9a41526eec2f1b23fd1c1809313dd55f8830</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(KEY)0209232820150000024000300064longrunrelationshipbetweendefaultratesandmacroecon</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="a">650</subfield><subfield code="q">DNB</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">83.00</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="0" ind2=" "><subfield code="a">Daniel Ilg</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This article examines and ascertains a long-run relationship of leveraged loan defaults rates and macroeconomic variables in the United States. It identifies factors in the economic environment that have a significant impact on the development of leveraged loans. The author uses a vector error correcting model to elaborate the interdependencies among industrial production, credit spreads, differences between credit and leveraged loan spreads, the stock market, and the number of defaults of the S&P Leveraged Loan Index. The time series is based on 156 months between January 1999 and December 2011. Credit spreads, differences in loan and bond spreads, and the stock market have a positive impact on default rates, whereas industrial production shows a negative sign. All factor variables are highly significant aside from the stock market.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">High yield investments</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Macroeconomics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Studies</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit risk</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Leverage</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">The journal of fixed income</subfield><subfield code="d">London : IPR Journals, 1991</subfield><subfield code="g">24(2015), 3, Seite 64-76</subfield><subfield code="w">(DE-627)170850188</subfield><subfield code="w">(DE-600)1116103-6</subfield><subfield code="w">(DE-576)032733518</subfield><subfield code="x">1059-8596</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:24</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:3</subfield><subfield code="g">pages:64-76</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://dx.doi.org/10.3905/jfi.2014.24.3.064</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">http://search.proquest.com/docview/1646328487</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_130</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2002</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">83.00</subfield><subfield code="q">AVZ</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">24</subfield><subfield code="j">2015</subfield><subfield code="e">3</subfield><subfield code="h">64-76</subfield></datafield></record></collection>
score	7.4006166

Nicht das Richtige dabei?

Schreiben Sie uns!

Long-Run Relationship between Default Rates and Macroeconomic Variables in the U.S. Leveraged Loan Market

Nicht das Richtige dabei?

Zugang & Verfügbarkeit

Vorhandene Bände

Nicht das Richtige dabei?