Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10012108993
The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...
Persistent link: https://www.econbiz.de/10013005733
We solve a dynamic general equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates,...
Persistent link: https://www.econbiz.de/10013005999
This working paper was written by Patrick Augustin (McGill University and Canadian Derivatives Institute), Mikhail Chernov (University of California Los Angeles, NBER and CEPR), Lukas Schmid (University of Southern California and CEPR) and Dongho Song (Johns Hopkins University).We show...
Persistent link: https://www.econbiz.de/10013492075
Persistent link: https://www.econbiz.de/10011577512
Persistent link: https://www.econbiz.de/10012136990
Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of...
Persistent link: https://www.econbiz.de/10013324707
We solve a dynamic equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates, a...
Persistent link: https://www.econbiz.de/10012855459
We provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong co-movement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for CDS spreads. The framework nests a reduced-form default...
Persistent link: https://www.econbiz.de/10012857500
Persistent link: https://www.econbiz.de/10012666104