Sum, Vichet - In: Journal of finance and investment analysis 2 (2013) 1, pp. 77-83
This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...
