Macroeconomic News Announcements and Corporate Bond Credit Spreads

Abstract

We investigate the impact of scheduled macroeconomic news announcements on the corporate bond market using daily credit spreads from January 1997 through June 2003. We find that macroeconomic announcements mainly affect high-yield bonds. In particular, the announcement surprises in leading economic indicators and employment reports have significant impact on credit spreads of high-yield bonds. We also find that the conditional volatility of credit spreads on high-yield bonds increases on announcement days for the advance monthly retail sales. Finally, we find that the VIX volatility index, not macroeconomic announcements, has significant impact on jumps in daily credit spreads.