A no-arbitrage analysis of economic determinants of the credit spread term structure
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Business & Economics - 48 pages
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Adam Copeland afﬁne Athanasios Orphanides Bank Brian Sack coefﬁcient corporate bond credit rating classes credit rating group Credit Spread Term deﬁned Dufﬁe dynamic economic factors dynamic factor model Economic Determinants Egon Zakrajsek equations extracted factor dynamics factor risks Factor Shocks Federal Reserve Board ﬁltering ﬁnancial market volatility ﬁnancial sector ﬁnancial series ﬁnd ﬁrst industry sectors inﬂation factor inﬂation pressure instantaneous interest rate lower credit rating macroeconomic and ﬁnancial market prices market volatility factor matrix mean term structure measurement error variance Merrill Lynch Monetary Policy non-farm payrolls October parameter estimates PCE deﬂator rates and credit real output factor real output growth risk-neutral measure speciﬁcation spot rates Spread Term Structure spreads on corporate structure of credit structure of interest structure of Treasury Takeshi Kimura term structure model three economic factors Treasury spot rates unit shocks variables whole term structure yield curve yields and credit