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role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …
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role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …
Persistent link: https://www.econbiz.de/10013069208
role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …
Persistent link: https://www.econbiz.de/10012462254
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond...
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Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
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