Jump tail risk premium and predicting US and Japanese credit spreads
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DOI: 10.1007/s00181-018-1431-x
Abstract: This paper investigates the role of time-varying jump tail risk component of market variance risk premium for predicting credit spreads in US and Japanese corporate bond markets. Based on a semi-nonparametric estimation procedure from option… read more here.
Keywords: risk premium; jump tail; credit spreads; risk ... See more keywords
Foreign capital flows, credit spreads, and the business cycle
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2018.06.001
Abstract: Abstract Previous studies have found that foreign capital flows into the US Treasury and corporate-bond markets drive US long-term interest rates. In this paper, we extend the literature by showing that (1) foreign capital flows… read more here.
Keywords: capital flows; foreign capital; flows credit; credit spreads ... See more keywords
Time-varying ambiguity, credit spreads, and the levered equity premium
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DOI: 10.1016/j.jfineco.2019.04.013
Abstract: This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a general equilibrium model where an ambiguity-averse agent applies a discount rate that is… read more here.
Keywords: time; ambiguity; time varying; credit spreads ... See more keywords
Policy uncertainty and corporate credit spreads
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DOI: 10.1016/j.jfineco.2020.07.001
Abstract: Abstract We find a significant positive relation between changes in policy uncertainty and changes in credit spreads. Macroeconomic conditions, including general uncertainty, do not explain this result, which also holds when we use instrumental variables… read more here.
Keywords: credit spreads; uncertainty; policy uncertainty; uncertainty corporate ... See more keywords
On the predictability of emerging market sovereign credit spreads
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2018.07.005
Abstract: This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers’ default. A model based on the country-specific credit spread curve factors predicts no… read more here.
Keywords: credit; predictability emerging; emerging market; credit spreads ... See more keywords