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Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds
16 references·0 citing·46 second hop
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds (2022)Sovereign credit and exchange rate risks:…U.S. Monetary Policy and the Global Financial Cycle (2020)U.S. Monetary Policy and the …Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Sovereign Defaults: The Price of Haircuts (2011)Sovereign Defaults: The Price…Information in (and not in) the Term Structure (2011)Information in (and not in) t…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010)Determinants of Sovereign Ris…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Country spreads and emerging countries: Who drives whom? (2005)Country spreads and emerging …Default, Currency Crises, and Sovereign Credit Ratings (2002)Default, Currency Crises, and…The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of 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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)Forecasting the Term Structure of Government Bond Yields (2003)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Forecasting Inflation (2013)Pricing the term structure with linear regressions (2013)The Information in Long-Maturity Forward Rates (1987)The Econometrics of Financial Markets (2012)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Credit Cycles (1997)Risk Shocks (2013)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Market Liquidity and Funding Liquidity (2008)Risk Matters: The Real Effects of Volatility Shocks (2011)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)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 (1965)The arbitrage theory of capital asset pricing (1976)Time-Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Foreign Speculators and Emerging Equity Markets (2000)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Determining the Number of Factors in Approximate Factor Models (2002)The Time Variation in Risk Appetite and Uncertainty (2017)U.S. Monetary Policy and International Risk Spillovers (2019)China's overseas lending (2021)Statistical analysis of cointegration vectors (1988)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Default Risk and Income Fluctuations in Emerging Economies (2008)Sudden Stops, Financial Crises, and Leverage (2010)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)
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References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 1995Predictable Risk and Returns in Emerging Markets1,152 cited
  • 2020U.S. Monetary Policy and the Global Financial Cycle1,136 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2005Country spreads and emerging countries: Who drives whom?714 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2011Sovereign Defaults: The Price of Haircuts578 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt530 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 2011Information in (and not in) the Term Structure404 cited
  • 2002

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Default, Currency Crises, and Sovereign Credit Ratings
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