Macroeconomic risks of supply chain counterparties and corporate bond yield spreads

Tsung-Kang Chen; Hsien Hsing Liao; Hsiao Chun Huang

doi:10.1007/s11156-013-0382-8

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

Department of Management Science

Research output: Contribution to journal › Article › peer-review

11 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 language	English
Pages (from-to)	463-481
Number of pages	19
Journal	Review of Quantitative Finance and Accounting
Volume	43
Issue number	3
DOIs	https://doi.org/10.1007/s11156-013-0382-8
State	Published - Oct 2014

Keywords

Bond yield spreads
Credit risk
Macroeconomic risk
Supply chain

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title = "Macroeconomic risks of supply chain counterparties and corporate bond yield spreads",

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{\textquoteright}s supply chain counterparties on its credit risk (or bond yield spreads). It motivates this research to investigate the effects of supply chain counterparties{\textquoteright} 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{\textquoteright}s bond yield spreads while those of suppliers have insignificant effects.",

keywords = "Bond yield spreads, Credit risk, Macroeconomic risk, Supply chain",

author = "Tsung-Kang Chen and Liao, {Hsien Hsing} and Huang, {Hsiao Chun}",

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AU - Liao, Hsien Hsing

AU - Huang, Hsiao Chun

PY - 2014/10

Y1 - 2014/10

N2 - 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.

AB - 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.

KW - Bond yield spreads

KW - Credit risk

KW - Macroeconomic risk

KW - Supply chain

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Macroeconomic risks of supply chain counterparties and corporate bond yield spreads

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Keywords

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