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2006, ISBN 9780199272693, x, 193
The frequency and virulence of recent financial crises have led to calls for reform of the current international financial architecture. In an effort to learn... 
Debts, External | Capital movements | History | Globalization | financial markets | Developing countries | 19th century | International Capital Flows | Bond Yields | Financial Globalization | Emerging Markets
Book
The American Economic Review, ISSN 0002-8282, 6/2012, Volume 102, Issue 4, pp. 1692 - 1720
Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into... 
Bond markets | Corporate bonds | Credit | Economic fluctuations | Economic forecasting | Shorter Papers | Credit risk | Yield curves | Bond issues | Financial bonds | Financial investments | STOCK RETURNS | ECONOMIC-ACTIVITY | LIQUIDITY | TERM STRUCTURE | YIELD CURVE | RISK | INTEREST-RATES | ECONOMICS | CORPORATE-BONDS | DEFAULT | Macroeconomics | Research | Business cycles | Credit market | Bonds | Studies | Economic models | Spread | Economic theory
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 9/2010, Volume 42, Issue 1, pp. 3 - 35
We consider the desirability of modifying a standard Taylor rule for interest rate policy to incorporate adjustments for measures of financial conditions.We... 
Bank credit | Loans | Taylor rule | Credit | Credit policies | Optimal policy | Monetary policy | Marginal utility | Calibration | Yield curves | E40 | interest rate rules | E50 | Taylor rules | credit frictions | Interest rate rules | Credit frictions | BUSINESS, FINANCE | ECONOMICS
Journal Article
2005, World Bank working paper, ISBN 0821363387, Volume no. 62, cm.
This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an... 
Swaps (Finance) | Mathematical models | Interest rates | United States | SWAP TRANSACTIONS | MODELS | COINTEGRATION | STATISTICS | TREASURY BONDS | FINANCIAL ANALYSIS | YIELD INCREASE | ANALYTICAL METHODS | ERROR CORRECTION MODELS | MORTGAGE-BACKED SECURITIES
Book
Journal of Banking and Finance, ISSN 0378-4266, 04/2014, Volume 41, Issue 1, pp. 271 - 282
This study proposes models that can be used as shorthand analysis tools for CDS spreads and CDS spread changes. For this purpose, we examine the determinants... 
Corporate bond | Structural model | CDS | Credit spread | Credit Default Swap | MOMENTUM | RETURNS | RISK | DEBT | BUSINESS, FINANCE | RATING ANNOUNCEMENTS | BOND YIELDS | ECONOMICS
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2008, Volume 88, Issue 2, pp. 375 - 405
We analyze a six-factor model for Treasury bonds, corporate bonds, and swap rates and decompose swap spreads into three components: a convenience yield from... 
Liquidity | Term structure | Credit risk | Swap rates | MARKET | PRICE | credit risk | term structure | DEFAULT RISK | liquidity | swap rates | BUSINESS, FINANCE | CORPORATE YIELD SPREADS | BONDS | SPECIAL REPO RATES | ECONOMICS | TERM-STRUCTURE MODELS | Swaps (Finance) | Analysis
Journal Article
The Journal of Finance, ISSN 0022-1082, 2/2007, Volume 62, Issue 1, pp. 119 - 149
We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4,000 corporate bonds and spanning both... 
Bond rating | Corporate bonds | Cost estimates | Credit ratings | Liquidity | Junk bonds | Investment grade bonds | Yield curves | Corporate liquidity | Financial investments | BUSINESS, FINANCE | MARKET | TRANSACTION COSTS | PRICE | RETURNS | CURVE | DEFAULT RISK | STOCKS | DEBT
Journal Article
The Journal of Finance, ISSN 0022-1082, 10/2005, Volume 60, Issue 5, pp. 2213 - 2253
We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find... 
Corporate bonds | Time series | Liquidity | Credit risk | Yield curves | Business structures | Financial instruments | Corporate liquidity | Credit default swaps | Treasury bonds | EMPIRICAL-ANALYSIS | BUSINESS, FINANCE | TERM STRUCTURE | SECURITIES | BONDS | SPECIAL REPO RATES | OPTIMAL CAPITAL STRUCTURE | MODEL | DEBT | DERIVATIVES
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2010, Volume 34, Issue 4, pp. 743 - 753
This study empirically examines the impact of the interaction between market and default risk on corporate credit spreads. Using credit default swap (CDS)... 
Credit spreads | Credit risk | Market conditions | Credit default swaps | DETERMINANTS | INFORMATION | RETURNS | DEBT | BUSINESS, FINANCE | CAPITAL STRUCTURE | MACROECONOMIC CONDITIONS | BOND YIELDS | INVESTMENT | DYNAMICS | ECONOMICS | VOLATILITY | Credit risk Credit default swaps Credit spreads Market conditions | Cash flow | Gross domestic product
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 10/2014, Volume 47, Issue 1, pp. 155 - 176
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond... 
Fiscal policy | Time-varying coefficients | Sovereign spreads | LIQUIDITY | COUNTRIES | FUNDAMENTALS | DEBT CRISIS | EURO AREA | DETERMINANTS | MARKETS | DRIVES | YIELD SPREADS | BUSINESS, FINANCE | ECONOMICS | CREDIT RISK | Pricing
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 08/2014, Volume 45, Issue 1, pp. 105 - 116
Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two factors empirically. In this paper we separate... 
Liquidity | Credit spread puzzle | Credit risk | Corporate bond spreads | Corporate bond liquidity | MARKET | TRANSACTION COSTS | TRADING COSTS | DETERMINANTS | RETURNS | YIELD SPREADS | BUSINESS, FINANCE | TRANSPARENCY | ECONOMICS | ILLIQUIDITY | Corporate bonds
Journal Article
The Journal of Finance, ISSN 0022-1082, 10/2001, Volume 56, Issue 5, pp. 1929 - 1957
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2010, Volume 34, Issue 10, pp. 2328 - 2345
Recent research establishes a negative relation between stock returns and dispersion of analysts’ earnings forecasts, arguing that asset prices more reflect... 
Corporate bonds | Credit risk | Earnings volatility | Analyst forecasts | LIQUIDITY | MARKET EFFICIENCY | DETERMINANTS | INFORMATION | DEFAULT RISK | YIELD SPREADS | CROSS-SECTION | OPTION PRICES | STOCK RETURNS | BUSINESS, FINANCE | ECONOMICS | OPINION | Analyst forecasts Corporate bonds Credit risk Earnings volatility | Financial markets
Journal Article
The Journal of Finance, ISSN 0022-1082, 10/2008, Volume 63, Issue 5, pp. 2345 - 2384
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of... 
Credit | Investors | Bond principal | Working papers | Market prices | Credit risk | Risk premiums | Financial instruments | Parametric models | Credit default swaps | BUSINESS, FINANCE | RISK | YIELD SPREADS | SWAPS | ECONOMICS | MODELS
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2008, Volume 32, Issue 12, pp. 2706 - 2715
This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied... 
Credit spreads | Options | Implied volatility | Skew | class eco B | YIELDS | INFORMATION | MARKETS | DEFAULT RISK | DEBT | BUSINESS, FINANCE | MODELS | ECONOMICS | CORPORATE-BONDS | VOLATILITY | Credit spreads Options Implied volatility Skew | Stock options | Analysis
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 12/2019, Volume 134, Issue 3, pp. 617 - 646
This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a... 
Credit spreads | Equity premium | Ambiguity | RARE DISASTERS | DIVIDEND YIELDS | CORPORATE-DEBT | PORTFOLIO RULES | STOCK RETURNS | BUSINESS, FINANCE | EXPECTED RETURNS | TERM STRUCTURE | CAPITAL STRUCTURE | ECONOMICS | SAMPLE SELECTION | ASSET RETURNS
Journal Article