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Macro Factors in the Term Structure of Credit Spreads
16 references·7 citing·30 second hop
Macro Factors in the Term Structure of Credit Spreads (2007)Macro Factors in the Term Structure of Cr…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Bankruptcy Prediction with Industry Effects (2004)Bankruptcy Prediction with In…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…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Chapter 21 The financial acce…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Financial Accelerator in …On cox processes and credit risky securities (1998)On cox processes and credit r…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Yield spread determinants of sukuk and conventional bonds (2021)Yield spread determinants of …The World Business Cycle and Expected Returns (2012)The World Business Cycle and …Sovereign default risk premia: Evidence from the default swap market (2012)Sovereign default risk premia…Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets (2011)Fiscal Sustainability, Defaul…A reduced form model of default spreads with Markov-switching macroeconomic factors (2011)A reduced form model of defau…Predicting credit spreads (2009)Predicting credit spreadsA Framework for Assessing the Systemic Risk of Major Financial Institutions (2009)A Framework for Assessing the…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Science of Monetary Policy: A New Keynesian Perspective (1999)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)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)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Common risk factors in the returns on stocks and bonds (1993)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Credit Spreads and Business Cycle Fluctuations (2012)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1998The Financial Accelerator in a Quantitative Business Cycle Framework4,624 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited

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  • 2004Bankruptcy Prediction with Industry Effects810 cited
  • Cited by

    • 2012The World Business Cycle and Expected Returns51 cited
    • 2009A Framework for Assessing the Systemic Risk of Major Financial Institutions45 cited
    • 2011A reduced form model of default spreads with Markov-switching macroeconomic factors40 cited
    • 2009Predicting credit spreads34 cited
    • 2012Sovereign default risk premia: Evidence from the default swap market31 cited
    • 2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets29 cited
    • 2021Yield spread determinants of sukuk and conventional bonds26 cited