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Term premiums and default premiums in money markets

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Author Info
Fama, Eugene F.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-458WN9H-R/2/5d271e71a8ca7ed3e21902cb9544c7d2
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 17 (1986)
Issue (Month): 1 (September)
Pages: 175-196
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Handle: RePEc:eee:jfinec:v:17:y:1986:i:1:p:175-196

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  1. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  2. Daniel L. Thornton, 1992. "Why do T-bill rates react to discount rate changes?," Working Papers 1992-004, Federal Reserve Bank of St. Louis. [Downloadable!]
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  3. repec:fip:fedreq:y:1990:i:sep:p:3-26:n:v.76no.5 is not listed on IDEAS
  4. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Research Department of Statistics Norway. [Downloadable!]
  5. Mauricio Larraín & Fernando Parro, 2006. "The Information Contained in Forward Rates Movements in Chile," Working Papers Central Bank of Chile 386, Central Bank of Chile. [Downloadable!]
  6. Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005. "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-005, Boston University - Department of Economics. [Downloadable!]
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  7. Edward J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 1999. "Explaining the Rate Spread on Corporate Bonds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-082, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  8. Nijman, T.E. & Roon, F.A. de & Veld, C., 1996. "Pricing term structure risk in futures markets," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
  9. Jacob Boudoukh & Matthew Richardson, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Robert R. Bliss, 2001. "Market discipline and subordinated debt: a review of some salient issues," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 24-45. [Downloadable!]
  11. Bossaerts, Peter., 1992. "Asset Prices in a Speculative Market," Working Papers 796, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  12. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
  13. George E. French, 1999. "Banking in transition," Macroeconomics 9906005, EconWPA. [Downloadable!]
  14. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Department of Economics, University of Glasgow. [Downloadable!]
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  15. Luis E Arango & Luz Adriana Flórez & Angélica M Arosemena, 2005. "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(125), pages 79-101. [Downloadable!]
  16. Timothy Cook & Thomas Hahn, 1988. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Working Paper 88-04, Federal Reserve Bank of Richmond. [Downloadable!]
  17. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia. [Downloadable!]
  18. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  19. Melendres Howe, 2000. "Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 176-195, June. [Downloadable!] (restricted)
  20. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany. [Downloadable!]
  21. K. Kanagasabapathy & Rajan Goyal, 2002. "Yield Spread as a Leading Indicator of Real Economic Activity-- An Empirical Exercise on the Indian Economy," IMF Working Papers 02/91, International Monetary Fund. [Downloadable!]
  22. Chris Downing & Stephen Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series 2004-18, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  23. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 147-169, May. [Downloadable!] (restricted)
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