This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "The Relation Between Treasury Yields and Corporate Bond Yield Spreads"

by Gregory R. Duffee

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Maxime Merli & Alain Schatt, 2003. "Contagion effects of successive bond rating downgrades," Working Papers of LaRGE (Laboratoire de Recherche en Gestion et Economie) 2003-02, Laboratoire de Recherche en Gestion et Economie, Université de Strasbourg (France). [Downloadable!]
  2. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA. [Downloadable!]
  3. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
  4. Jesús P. Colino & Winfried Stute, 2008. "Credit risk with semimartingales and risk-neutrality," Statistics and Econometrics Working Papers ws085417, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  5. Marco Taboga, 2009. "The riskiness of corporate bonds," Temi di discussione (Economic working papers) 730, Bank of Italy, Economic Research Department. [Downloadable!]
  6. Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration 4151, University of Munich, Munich School of Management. [Downloadable!]
  7. Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Dynamic equilibrium correction modelling of yen Eurobond credit spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp127, IIIS. [Downloadable!]
  8. Kwamie Dunbar, 2005. "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations 2005.2, Fordham University, Department of Economics. [Downloadable!]
  9. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI. [Downloadable!]
  10. Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised 01 Feb 2002. [Downloadable!]
    Other versions:
  11. Stuart M. Turnbull & Jun Yang, 2004. "Modelling the Evolution of Credit Spreads in the United States," Working Papers 04-45, Bank of Canada. [Downloadable!]
  12. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007. "The Demand for Treasury Debt," NBER Working Papers 12881, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Chris Downing & Frank Zhang, 2002. "Trading activity and price volatility in the municipal bond market," Finance and Economics Discussion Series 2002-39, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  14. Rudiger Kiesel & William Perraudin & Alex Taylor, . "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England. [Downloadable!]
  15. Iryna V. Ivaschenko, 2003. "How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 03/3, International Monetary Fund. [Downloadable!]
  16. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008. [Downloadable!]
  17. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Investigating the sources of default risk: lessons from empirically evaluating credit risk models," Finance and Economics Discussion Series 2001-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  18. James Kau & Luke Peters, 2005. "The Effect of Mortgage Price and Default Risk on Mortgage Spreads," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 285-295, April. [Downloadable!] (restricted)
  19. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 31-57, March. [Downloadable!] (restricted)
  20. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics. [Downloadable!]
  21. Renneboog, L.D.R. & Szilagyi, Peter G., 2006. "How do mergers and acquisitions affect bondholders in Europe? : evidence on the impact and spillover of governance and legal standards," Discussion Paper 55, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  22. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Working Papers 02-15, Bank of Canada. [Downloadable!]
  23. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series 1011, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  24. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE. [Downloadable!]
  25. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  26. Peroni, Chiara, 2007. "A non-parametric investigation of risk premia," MPRA Paper 5126, University Library of Munich, Germany, revised 01 Dec 2007. [Downloadable!]
  27. Sbuelz, A. & Guha, R., 2003. "Structural rfv: recovery form and defaultable debt analysis," Discussion Paper 37, Tilburg University, Center for Economic Research. [Downloadable!]
  28. Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  29. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research. [Downloadable!]
    Other versions:
  30. Jonathan A. Batten & Warren P. Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 651-666, June. [Downloadable!] (restricted)
  31. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  32. Jeremy Leake, . "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England. [Downloadable!]
  33. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  34. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO. [Downloadable!]
    Other versions:
  35. Maxime Merli & Alain Schatt, 2007. "Are there contagion or competition effects for non rated firms?The case of successive bond rating downgrades of Alcatel," Working Papers FARGO 1070603, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  36. Pamela Nickell & William Perraudin & Simone Varotto, . "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England. [Downloadable!]
  37. Gordon Delianedis & Robert Geske, 2001. "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors," University of California at Los Angeles, Anderson Graduate School of Management 1025, Anderson Graduate School of Management, UCLA. [Downloadable!]
  38. Becchetti Leonardo & Carpentieri Andrea & Hasan Iftekhar, 2006. "The determinants of option adjusted delta credit spreads: A comparative analysis on US, UK and the Eurozone," Departmental Working Papers 241, Tor Vergata University, CEIS. [Downloadable!]
  39. SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000. "On the term structure of default premia in the Swap and Libor markets," Les Cahiers de Recherche 704, HEC Paris. [Downloadable!]
  40. Acharya, Viral V. & Davydenko, Sergei A. & Strebulaev, Ilya, 2009. "Cash Holdings and Credit Risk," CEPR Discussion Papers 7125, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  41. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Why are Securitization Issues Tranched?," OFRC Working Papers Series 2005fe04, Oxford Financial Research Centre. [Downloadable!]
  42. Jochen R. Andritzky & Manmohan Singh, 2005. "Overpricing in Emerging Market Credit-Default-Swap Contracts: Some Evidence from Recent Distress Cases," IMF Working Papers 05/125, International Monetary Fund. [Downloadable!]
  43. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany. [Downloadable!]
  44. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management. [Downloadable!]
  45. Landschoot, A. van, 2003. "The term structure of credit spreads on euro corporate bonds," Discussion Paper 46, Tilburg University, Center for Economic Research. [Downloadable!]
  46. 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!]
  47. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research. [Downloadable!]
  48. Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2005. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Policy Research Working Paper Series 3626, The World Bank. [Downloadable!]
    Other versions:
  49. Astrid Van Landschoot, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank. [Downloadable!]
  50. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance. [Downloadable!]
  51. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December. [Downloadable!] (restricted)
  52. Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  53. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007. [Downloadable!]
  54. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics. [Downloadable!]
  55. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
  56. Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2010-1-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.