Policy uncertainty and corporate credit spreads

被引：123

作者：

Kaviani, Mahsa S. ^{[1
]}

Kryzanowski, Lawrence ^{[2
]}

Maleki, Hosein ^{[3
]}

Savor, Pavel ^{[4
]}

机构：

[1] Univ Delaware, Alfred Lerner Coll Business & Econ, Newark, DE 19716 USA

[2] Concordia Univ, John Molson Sch Business, S-MB 12229 John Molson Bldg,1450 Guy St, Montreal, PQ H3H 0A1, Canada

[3] Florida State Univ, Dept Finance, Tallahassee, FL 32312 USA

[4] DePaul Univ, Driehaus Coll Business, DePaul Ctr 5500, 1 E Jackson Blvd, Chicago, IL 60604 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 138卷 / 03期

关键词：

Credit spreads; Policy uncertainty; Regulation;

D O I：

10.1016/j.jfineco.2020.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find a significant positive relation between changes in policy uncertainty and changes in credit spreads. Macroeconomic conditions, including general uncertainty, do not explain this result, which also holds when we use instrumental variables to address endogeneity issues. The impact of policy uncertainty is greater for firms that operate in regulation-intensive industries, face high tax rates, or are dependent on government spending. It is also stronger for firms that engage in political activities or rely on external financing. We conclude that policy uncertainty has a significant effect on firms' borrowing costs, with exposure to government policies representing an important channel. (C) 2020 Elsevier B.V. All rights reserved.

引用

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页码：838 / 865

页数：28

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