Batten, Jonathan A.; Jacoby, Gady; Liao, Rose C. - In: International Review of Financial Analysis 34 (2014) C, pp. 89-100
The effect of inflation on the credit spreads of corporate bonds is investigated utilising real instead of nominal interest rates in extensions of the models proposed by Longstaff and Schwartz (1995) and Collin-Dufresne et al. (2001). Inflation is a critical, non-default, component incorporated...