Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/260285 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Working Paper No. 2019:15
Verlag: 
Lund University, School of Economics and Management, Department of Economics, Lund
Zusammenfassung: 
We use Google internet search volumes to measure households' pessimism about overall market-wide credit health in the economy, and show that this "household default sentiment" is positively correlated with the credit default swap (CDS) spread level in the market. However, while household default sentiment might drive the cost of credit to some degree, either directly or indirectly through its effect on the stock market, we find the stock market's opinion about the credit risk in the economy (default probabilities backed out from structural models) to be much more important in explaining credit spreads. The rather weak link between household sentiment and CDS spreads, meanwhile, is consistent with the almost complete absence of retail investors (households) in the institutional investor-dominated credit derivatives market. The results are essentially the same, whether we look at market-wide CDS indexes or single-name CDS contracts, and whether we exclude the financial crisis or not.
Schlagwörter: 
sentiment
Google
internet search
households
CDS
spread
distance to default
JEL: 
C82
D83
G12
G14
G50
Dokumentart: 
Working Paper

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