Using four decades of data, this empirical study adopts a loanable funds model to investigate the impact of the federal government budget deficit in the U.S. on the ex ante real interest rate yield on ten-year Treasury notes. For the 40-year period 1973-2012, an autoregressive 2SLS estimate...

A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...

In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment...

The cyclical variation behavior of the mortgage spread has motivated some studies to investigate its relationship to economic activity. Indeed, recent empirical findings indicate that the mortgage spread is a determinant/predictor of economic activity. We define the mortgage spread as the...

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...

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...

A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...

Amicus Brief submitted in the Bankruptcy of Lyondell Chemical Company, analyzing fraudulent transfer issues by applying the techniques developed in "Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution" - http://ssrn.com/abstract=1632084

In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment...