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The response of the default risk premium to macroeconomic shocks
16 references·5 citing·35 second hop
The response of the default risk premium to macroeconomic shocks (2003)The response of the default risk premium …Vector Autoregressions and Reality (2002)Vector Autoregressions and Re…The intersection of market and credit risk (2000)The intersection of market an…Indicator Properties of the Paper—Bill Spread: Lessons from Recent Experience (1998)Indicator Properties of the P…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Stock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Is there a role for monetary aggregates in the conduct of monetary policy? (1997)Is there a role for monetary …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …The identification of monetary policy disturbances explaining the liquidity puzzle (1995)The identification of monetar…Economic Forces, Fundamental Variables, and Equity Returns (1994)Economic Forces, Fundamental …Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…Vector Autoregressions and Reality (1987)Vector Autoregressions and Re…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Geopolitical uncertainty and the cost of debt financing: the moderating role of information asymmetry (2023)Geopolitical uncertainty and …Output‐inflation and unemployment‐inflation trade‐offs under inflation targeting (2009)Output‐inflation and unemploy…Fiscal effect from inflation targeting: the Brazilian experience (2008)Fiscal effect from inflation …Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate (2006)Interrelationships among stoc…The influence of macroeconomic news on term and quality spreads (2003)The influence of macroeconomi…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The arbitrage theory of capital asset pricing (1976)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Inference in Linear Time Series Models with some Unit Roots (1990)Interpreting the macroeconomic time series facts (1992)Does the Stock Market Overreact? (1985)Financing Constraints and Corporate Investment (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Stocks May Disappoint (2000)Taking Stock: Monetary Policy Transmission to Equity Markets (2004)The Myth of Long-Horizon Predictability (2005)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • 1995The identification of monetary policy disturbances explaining the liquidity puzzle471 cited
  • 2002Vector Autoregressions and Reality413 cited
  • 2000The intersection of market and credit risk304 cited
  • 1997Is there a role for monetary aggregates in the conduct of monetary policy?268 cited
  • 1987Vector Autoregressions and Reality177 cited
  • 1998Indicator Properties of the Paper—Bill Spread: Lessons from Recent Experience150 cited
  • 1994

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Economic Forces, Fundamental Variables, and Equity Returns
107 cited

Cited by

  • 2006Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate89 cited
  • 2003The influence of macroeconomic news on term and quality spreads32 cited
  • 2023Geopolitical uncertainty and the cost of debt financing: the moderating role of information asymmetry27 cited
  • 2009Output‐inflation and unemployment‐inflation trade‐offs under inflation targeting23 cited
  • 2008Fiscal effect from inflation targeting: the Brazilian experience14 cited