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Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
16 references·1 citing·41 second hop
Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets (2011)Fiscal Sustainability, Default Risk and E…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Sovereign risk premiums in the European government bond market (2012)Sovereign risk premiums in th…Information in (and not in) the Term Structure (2011)Information in (and not in) t…New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)New Evidence on the Interest …How Does Liquidity Affect Government Bond Yields? (2009)How Does Liquidity Affect Gov…Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2008)Flight-to-Quality or Flight-t…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Yield spreads on EMU government bonds (2003)Yield spreads on EMU governme…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)Estimating and Interpreting F…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Black Swan in the Money MarketA Black Swan in the Money Mar…A model of the euro-area yield curve with discrete policy rates (2016)A model of the euro-area yiel…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The Information in Long-Maturity Forward Rates (1987)Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Noise as Information for Illiquidity (2013)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Debt and growth: New evidence for the euro area (2012)Public debt and economic growth: Is there a causal effect? (2014)Public debt and growth: Heterogeneity and non-linearity (2015)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected Corporate Bond Returns (2010)Rollover Risk and Credit Risk (2012)The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012)The black swan: the impact of the highly improbable (2007)Credit Frictions and Optimal Monetary Policy (2009)Hedge Fund Contagion and Liquidity Shocks (2010)Over the Cliff: From the Subprime to the Global Financial Crisis (2011)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)
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References

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  • 2012Sovereign risk premiums in the European government bond market432 cited
  • 2011Information in (and not in) the Term Structure

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404 cited
  • 2009How Does Liquidity Affect Government Bond Yields?342 cited
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    • 2016A model of the euro-area yield curve with discrete policy rates15 cited