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Animal spirits and credit cycles

De Grauwe, Paul; Macchiarelli, Corrado - In: Journal of economic dynamics & control 59 (2015), pp. 95-117

Persistent link: https://www.econbiz.de/10011575059

Haircuts, interest rates, and credit cycles

Liu, Zehao; Xie, Chengbo - In: Economic theory 76 (2023) 1, pp. 69-109

Persistent link: https://www.econbiz.de/10014330677

Asset reliability and security prices : evidence from credit markets

Arora, Navneet; Richardson, Scott; Tuna, İrem - In: Review of accounting studies 19 (2014) 1, pp. 363-395

Persistent link: https://www.econbiz.de/10010347377

Do Eurozone yield spreads predict recessions?

Schock, Matthias - 2014 - Rev. September 2014

An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...

Persistent link: https://www.econbiz.de/10010419649

The relevance of market variables in the CDS spread volatility : an empirical post-crisis analysis

Di Febo, Elisa; Angelini, Eliana - In: Global business review 19 (2018) 6, pp. 1462-1477

Persistent link: https://www.econbiz.de/10011982810

Liquidity risk and volatility risk in credit spread models : a unified approach

Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901

Persistent link: https://www.econbiz.de/10011865496

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

Persistent link: https://www.econbiz.de/10010209431

Interconnectedness between stock and credit markets : the role of European G-SIBs in a multilayer perspective

Foglia, Matteo; Di Tommaso, Caterina; Wang, Gang-Jin; … - In: Journal of international financial markets, … 91 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014494827

Effects of regulatory policies on bank-specific risk and financial stability

Ludolph, Melina - 2021

Persistent link: https://www.econbiz.de/10013326457

Persistence of volatility of sovereign credit risk in presence of structural breaks

Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10010463011