Forecastable default risk premia and innovations
We examine the generating process for default risk premia in short-term and long-term debt sectors of the U.S. economy over the recent period of January 1977 through December 1996. Using weekly aggregates reported by the Federal Reserve, this research finds that all univariate series examined have unit roots which suggests a “long memory” for innovations in the series. Models presented here demonstrate an adjusted R<Superscript>2</Superscript> of 59 to 97 percent in sample with similar hold-out sample results. Long-term investment grade corporate bonds exhibit substantial feedback such that lagged innovations have predictive power for nearby risk classes. In the money markets, the flow of information is from less risky assets to more risky assets. Copyright Springer 1999
Year of publication: |
1999
|
---|---|
Authors: | Traichal, Patrick ; Johnson, Steve |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 23.1999, 3, p. 214-225
|
Publisher: |
Springer |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Employer perceptions of skills deficiencies in the UK labour market: a subregional analysis
Watson, Duncan, (2006)
-
A conceptual model of management learning in micro businesses: Implications for research and policy
Devins, David, (2010)
-
A conceptual model of management learning in micro businesses: Implications for research and policy
Devins, David, (2008)
- More ...