European Central Bank - eurosystem
Opțiuni de căutare
Pagina inițială Media Materiale explicative Studii și publicații Statistici Politică monetară Euro Plăți și piețe Cariere
Sortează în funcție de
Nu este disponibil în limba română

Tatjana Schulze

23 March 2022
Economic Bulletin Issue 2, 2022
Notwithstanding the recent pick-up in corporate spreads in some markets, global corporate bond prices stand close to historical highs amid relatively low credit risk premia, particularly in lower-rated segments. At the same time, the COVID‑19 pandemic has increased the vulnerability and indebtedness of many firms around the world, with corporate credit ratings remaining below pre‑pandemic levels and some firms exhibiting relatively weak profitability. The model-based valuation analysis presented in this box suggests that the strong overall decline in global corporate bond spreads since the peak of the pandemic has been only partly driven by the market’s assessment of improving credit quality and could, to a large extent, be related to the strength of investors’ risk appetite. Based on analysis of bond-level valuations in the US corporate market, the box also shows that market-wide risk-off shocks have the potential to significantly increase corporate spreads and expected default probabilities, particularly for the weakest firms.
JEL Code
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading