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Understanding corporate bond spreads using credit default swaps
García, Alejandro; Yang, Jun - In: Bank of Canada review (2008/09) 4, pp. 23-31
Persistent link: https://www.econbiz.de/10003977982
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The liquidity premium of near-money assets
Nagel, Stefan - 2014
Persistent link: https://www.econbiz.de/10010389730
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The liquidity premium of near-money assets
Nagel, Stefan - In: The quarterly journal of economics 131 (2016) 4, pp. 1927-1971
Persistent link: https://www.econbiz.de/10011710135
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Bank credit tightening, debt market frictions and corporate yield spread
Massa, Massimo; Zhang, Lei - 2015
Persistent link: https://www.econbiz.de/10010533079
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Inflation risk in corporate bonds
Kang, Johnny; Pflueger, Carolin E. - In: The journal of finance : the journal of the American … 70 (2015) 1, pp. 115-162
Persistent link: https://www.econbiz.de/10010501941
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Corporate bond market interdependence : credit spread correlation between and within U.S. and Canadian corporate bond markets
Champagne, Claudia; Coggins, Frank; Sodjahin, Amos - In: The North American journal of economics and finance : a … 41 (2017), pp. 1-17
Persistent link: https://www.econbiz.de/10011878922
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A multiname first-passage model for credit risk
McLeish, Don L.; Metzler, Adam - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 35-64
Persistent link: https://www.econbiz.de/10009010630
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Analyzing default risk and liquidity demand during a financial crisis : the case of Canada
Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - 2011
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...
Persistent link: https://www.econbiz.de/10009260883
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The Liquidity Premium of Near-Money Assets
Nagel, Stefan - 2014
Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost of money: The liquidity service benefits of near-money...
Persistent link: https://www.econbiz.de/10013051746
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The Liquidity Premium of Near-Money Assets
Nagel, Stefan - 2014
Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost of money: The liquidity service benefits of near-money...
Persistent link: https://www.econbiz.de/10013052061