In this paper, a set of tests of models of relative capital asset pricesis developed. The tests are used to examine how well the models explain maturity premiums on Government bonds, though they are perfectly general and hence could be applied to stocks or other assets. Allowance is made in the...

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are...

This paper addresses the out-of-sample prediction of European Monetary Union yield spread changes. We extend the Longstaff and Schwartz (1995) approach by using liquidity variables, namely funding liquidity as measured by European Central Bank's unconventional monetary policy as well as a...