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Understanding aggregate default rates of high yield bonds

Author

Listed:
  • Jean Helwege
  • Paul Kleiman

Abstract

The New York-New Jersey region's hard-earned recovery in employment is being overshadowed by ongoing job losses in certain sectors and the prospect of moderating growth in the United States as a whole. Fortunately, several positive trends are bolstering the region's employment picture. Strength in the services sector, a falloff in restructuring, and gains in income point to continuing--though modest--regional job growth in 1996.

Suggested Citation

  • Jean Helwege & Paul Kleiman, 1996. "Understanding aggregate default rates of high yield bonds," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(May).
    • Handle: RePEc:fip:fednci:y:1996:i:may:n:v.2no.6
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    Citations

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    Cited by:

    1. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
    2. Bo Becker & Victoria Ivashina, 2023. "Disruption and Credit Markets," Journal of Finance, American Finance Association, vol. 78(1), pages 105-139, February.
    3. Harald Uhlig & Fiorella De Fiore, 2005. "Bank Finance versus Bond Finance: What Explains the Differences Between US and Europe?," 2005 Meeting Papers 618, Society for Economic Dynamics.
    4. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
    5. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    6. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
    7. Huong Dang & Graham Partington, 2014. "Rating Migrations: The Effect of History and Time," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 174-202, June.
    8. Ivan Alves, 2005. "Sectoral fragility: factors and dynamics," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 450-80, Bank for International Settlements.
    9. Sandow, Sven & Friedman, Craig & Gold, Mark & Chang, Peter, 2006. "Economy-wide bond default rates: A maximum expected utility approach," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 679-693, February.

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    Keywords

    Bonds;

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