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Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle
16 references·16 citing·42 second hopsampled
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2007)Inflation Uncertainty, Asset Valuations, …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…The equity premium: A puzzle (1985)The equity premium: A puzzleStock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Climate risk and corporate bond credit spreads (2025)Climate risk and corporate bo…Fintech development and corporate credit risk: Evidence from an emerging market (2024)Fintech development and corpo…Option-Based Credit Spreads (2018)Option-Based Credit SpreadsModeling Credit Contagion via the Updating of Fragile Beliefs (2015)Modeling Credit Contagion via…Macro risk factors of credit default swap indices in a regime-switching framework (2014)Macro risk factors of credit …Credit spread changes within switching regimes (2014)Credit spread changes within …Economic Uncertainty, Disagreement, and Credit Markets (2013)Economic Uncertainty, Disagre…Credit default swap spreads and variance risk premia (2013)Credit default swap spreads a…THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS (2012)THE EFFECT OF MONETARY POLICY…An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets (2012)An Asset Pricing Approach to …A reduced form model of default spreads with Markov-switching macroeconomic factors (2011)A reduced form model of defau…What Ties Return Volatilities to Price Valuations and Fundamentals? (2010)What Ties Return Volatilities…Leverage Choice and Credit Spreads when Managers Risk Shift (2010)Leverage Choice and Credit Sp…Differences in beliefs and currency risk premiums☆ (2010)Differences in beliefs and cu…Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach (2008)Inflation and Earnings Uncert…Corporate Credit Spreads under Parameter Uncertainty (2008)Corporate Credit Spreads unde…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Quarterly Journal of Economics (2024)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1999Modeling Term Structures of Defaultable Bonds

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2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • Cited by

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    • 2010What Ties Return Volatilities to Price Valuations and Fundamentals?101 cited
    • 2018Option-Based Credit Spreads93 cited
    • 2015Modeling Credit Contagion via the Updating of Fragile Beliefs85 cited
    • 2013Credit default swap spreads and variance risk premia81 cited
    • 2010Leverage Choice and Credit Spreads when Managers Risk Shift79 cited
    • 2008Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach52 cited
    • 2024Fintech development and corporate credit risk: Evidence from an emerging market50 cited
    • 2012An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets47 cited
    • 2025Climate risk and corporate bond credit spreads46 cited
    • 2014Macro risk factors of credit default swap indices in a regime-switching framework41 cited
    • 2011A reduced form model of default spreads with Markov-switching macroeconomic factors40 cited
    • 2012THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS39 cited
    • 2008Corporate Credit Spreads under Parameter Uncertainty37 cited
    • 2014Credit spread changes within switching regimes34 cited