Macroeconomic risks of supply chain counterparties and corporate bond yield spreads

Tsung-Kang Chen, Hsien Hsing Liao*, Hsiao Chun Huang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

The domino phenomenon that corporate failures occur along supply chain during the recent financial tsunami shows the important effects of the systematic risk of a firm’s supply chain counterparties on its credit risk (or bond yield spreads). It motivates this research to investigate the effects of supply chain counterparties’ macroeconomic risks on corporate bond yield spreads by employing 10,022 American bond observations from 1997 to 2008. The empirical results show that the macroeconomic risks of a firm and its customers are significantly and positively related to the firm’s bond yield spreads while those of suppliers have insignificant effects.

Original languageEnglish
Pages (from-to)463-481
Number of pages19
JournalReview of Quantitative Finance and Accounting
Volume43
Issue number3
DOIs
StatePublished - 1 Oct 2014

Keywords

  • Bond yield spreads
  • Credit risk
  • Macroeconomic risk
  • Supply chain

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