Similar Search Results

Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Macroeconomic determinants of the term structure of corporate spreads

Yang, Jun (contributor) - 2008

We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...

Persistent link: https://www.econbiz.de/10003772980

McCallum rules, exchange rates, and the term structure of interest rates

Díez de los Ríos, Antonio (contributor) - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10003775749

How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange

Alquist, Ron (contributor) - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … prices are available to conduct asset-pricing tests. Empirical analysis of these data establishes three new results. First … innovations in market liquidity. Third, market liquidity is a state variable important for pricing the cross-section of sovereign …

Persistent link: https://www.econbiz.de/10003790566

The equity premium and the volatility spread : the role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing …

Persistent link: https://www.econbiz.de/10003852916

Price formation and liquidity provision in short-term fixed income markets

D'Souza, Chris (contributor); Lo, Ingrid (contributor); … - 2007

obligations exist. -- Market structure and pricing ; Financial markets ; Interest rates …

Persistent link: https://www.econbiz.de/10003462952

A no-arbitrage analysis of macroeconomic determinants of term structures and the exchange rate

Chabi-Yo, Fousseni (contributor); Yang, Jun (contributor) - 2007

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Persistent link: https://www.econbiz.de/10003462987

Uncollateralized overnight loans settled in LVTS

Hendry, Scott (contributor); Kamhi, Nadja (contributor) - 2007

Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...

Persistent link: https://www.econbiz.de/10003463636

Price discovery in Canadian Government bond futures and spot markets

Chung, Christopher (contributor); … - 2007

cash market. -- Financial markets ; Market structure and pricing …

Persistent link: https://www.econbiz.de/10003463671

Search frictions and asset price volatility

Ravikumar, B.; Shao, Enchuan - 2010

asset pricing implications of our model different from those in the standard asset pricing model. Our model not only … the spectral characteristics of the equity price. -- Financial markets ; Market structure and pricing …

Persistent link: https://www.econbiz.de/10003933390

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