This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus...

This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather...

We identify the benefits and costs of financial openness in terms of currency crises based on a novel quantification of the systemic impact of currency (financial) crises. We find that systemic currency crises mainly exist regionally, and that financial openness helps diminish the probability of...

In recent years, the United States has taken the lion’s share of the Chinese broiler meat import market, ranging from 53.0% to 84.9%. Under the threat of rising poultry imports from the United States Chinese producers asked for an investigation into chicken prices, accusing American poultry...

This paper develops a reduced form model of interest rate swap spreads. The model accommodates both the default risk inherent in swap contracts and the liquidity difference between the swap and Treasury markets. We use an extended Kalman filter approach to estimate the model parameters. The...

This paper applies the stochastic Translog input distance function and stochastic frontier analysis (SFA) method to evaluate the operational efficiency of farm lenders in the commercial banking industry and the Farm Credit System (FCS). This paper uses the late 2000s recession as a backdrop for...

This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus...

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This paper is designed to validate if the agricultural sector can once again be labeled as an instigator of the late-2000s Great Recession using the early warning models technique. The empirical results indicate that exposure to agribusiness operations does not necessarily enhance a banks’...