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One reason countries pay their debts : renegotiation and international trade
Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001629624
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Time-varying consumption correlation and the dynamics of the equity premium : evidence from the G-7 countries
Sarkar, Asani (contributor); Zhang, Lingjia (contributor) - 2004 - [Elektronische Ressource]
We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average...
Persistent link: https://www.econbiz.de/10002101478
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Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?
Lettau, Martin (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590071
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Forecasting recessions using the yield curve
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630849
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The overnight interbank market : evidence from the G-7 and the euro zone
Prati, Alessandro (contributor);  … - 2001 - [Elektronische Ressource]
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...
Persistent link: https://www.econbiz.de/10001630855
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How stable is the predictive power of the yield curve? : Evidence from Germany and the United States
Estrella, Arturo (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001512206
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Estimating probabilities of default
Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]
different PD estimation methods--cohort and duration (intensity)--using twenty-two years of credit ratings data. We find that …
Persistent link: https://www.econbiz.de/10002521762
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Are larger treasury issues more liquid? : Evidence from bill reopenings
Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656398
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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2001 - [Elektronische Ressource]
more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …
Persistent link: https://www.econbiz.de/10001629622