Essays about: "Macro-finance"
Found 3 essays containing the word Macro-finance.
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1. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. READ MORE
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2. A Floating Currency Macro Term Structure Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. READ MORE
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3. A COEXCEEDANCE APPROACH ON FINANCIAL CONTAGION
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The paper sheds light on financial contagion within the Euro Area and Asia, and contagion from the Euro Area to Asia during two recent crises: the global financial crisis and European sovereign debt crisis. Applying the multinomial logit regression model, the paper investigates how the macro-finance variables affect the coincidence of extreme negative returns (coexceedances). READ MORE
