An empirical analysis of the relationship of bond yield spreads and macro economic factors
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References listed on IDEAS
- Gregory R. Duffee, 1996. "Treasury yields and corporate bond yield spreads: an empirical analysis," Finance and Economics Discussion Series 96-20, Board of Governors of the Federal Reserve System (U.S.).
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- Arturo Estrella & Frederic S. Mishkin, 1995. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1996. "Predicting U.S. recessions: financial variables as leading indicators," Research Paper 9609, Federal Reserve Bank of New York.
- Gregory R. Duffee, "undated". "Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis," Finance and Economics Discussion Series 1996-20, Board of Governors of the Federal Reserve System (U.S.).
- Edwin J. Elton & T. Clifton Green, 1997. "Tax and Liquidity Effects in Pricing Government Bonds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-029, New York University, Leonard N. Stern School of Business-.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- de Bondt, Gabe, 2002. "Euro area corporate debt securities market: first empirical evidence," Working Paper Series 0164, European Central Bank.
- repec:exp:finnce:v:5:y:2017:i::p:49-72 is not listed on IDEAS
- Takaoka, Sumiko & McKenzie, C.R., 2006.
"The impact of bank entry in the Japanese corporate bond underwriting market,"
Journal of Banking & Finance,
Elsevier, vol. 30(1), pages 59-83, January.
- C.R. McKenzie & Sumiko Takaoka, 2004. "The Impact of Bank Entry in the Japanese Corporate Bond Underwriting Market," Econometric Society 2004 Australasian Meetings 128, Econometric Society.
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
- Gabe de Bondt, 2004. "The balance sheet channel of monetary policy: first empirical evidence for the euro area corporate bond market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 219-228.
- Jonathan Batten & Warren Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 651-666.
- Su-Lien Lu & Chau-Jung Kuo, 2005. "How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1153-1164.
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