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Macro Factors in the Term Structure of Credit Spreads · Study

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PreprintMacro Factors in the Term Structure of Credit Spreads

Jeffery D. Amato2007

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Preprintgreen2007

Macro Factors in the Term Structure of Credit Spreads

Jeffery D. Amato · Maurizio Luisi

53 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1977An equilibrium characterization of the term structure 1998The Financial Accelerator in a Quantitative Business Cycle Framework 1999Chapter 21 The financial accelerator in a quantitative business cycle framework 1999Modeling Term Structures of Defaultable Bonds 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1991Common Factors Affecting Bond Returns

Cited by

2012The World Business Cycle and Expected Returns 2009A Framework for Assessing the Systemic Risk of Major Financial Institutions 2011A reduced form model of default spreads with Markov-switching macroeconomic factors 2009Predicting credit spreads 2012Sovereign default risk premia: Evidence from the default swap market 2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

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2007The Pricing of Unexpected Credit Lossespreprint · 17 shared references 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structurearticle · 15 shared references 2013Pricing Credit Default Swaps with Observable Covariatesarticle · 14 shared references 2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Riskarticle · 14 shared references 2011Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*article · 13 shared references 2012Sovereign default risk premia: Evidence from the default swap marketarticle · 13 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations53

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.637481

openalex_workW1531307674

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2021Yield spread determinants of sukuk and conventional bonds