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Douglas Rolph

Personal Details

First Name:Douglas
Middle Name:
Last Name:Rolph
RePEc Short-ID:pro4

Research output

Jump to: Working papers

Working papers

  1. Doug Rolph, 1999. "Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy," Computing in Economics and Finance 1999 853, Society for Computational Economics.
  2. Doug Rolph & Pu Shen, 1999. "Do the spreads between the E/P ratio and interest rates contain information on future equity market movements?," Research Working Paper 99-03, Federal Reserve Bank of Kansas City.
  3. Charles S. Morris & Robert Neal & Doug Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.


Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Charles S. Morris & Robert Neal & Doug Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Carol Alexandra & Jacques Pezier, 2003. "On the Aggregation of Market and Credit Risks," ICMA Centre Discussion Papers in Finance icma-dp2003-13, Henley Business School, Reading University.
    2. D. K. Malhotra & Vivek Bhargava & Mukesh Chaudhry, 2005. "Determinants of Treasury-LIBOR Swap Spreads," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 687-705.
    3. Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, EconWPA.
    4. Hongming Huang & Yildiray Yildirim, 2008. "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, vol. 11(3), pages 245-276, October.
    5. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA.
    6. Horst Rottmann & Franz Seitz, 2004. "Credit Spreads und ihre Determinanten in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(24), pages 10-14, December.
    7. Davies, Andrew, 2008. "Credit spread determinants: An 85 year perspective," Journal of Financial Markets, Elsevier, vol. 11(2), pages 180-197, May.
    8. Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," LECTURAS EN FINANZAS 002710, BANCO DE LA REPÚBLICA.
    9. Dötz, Niko, 2014. "Decomposition of country-specific corporate bond spreads," Discussion Papers 37/2014, Deutsche Bundesbank.
    10. Junji Shimada & Toyoharu Takahashi & Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda, 2010. "Japanese Interest Rate Swap Pricing," TERG Discussion Papers 253, Graduate School of Economics and Management, Tohoku University.
    11. Manzoni, Katiuscia, 2002. "Modeling credit spreads: An application to the sterling Eurobond market," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 183-218.
    12. Ambrose, Brent W. & Buttimer, Richard Jr., 2005. "GSE impact on rural mortgage markets," Regional Science and Urban Economics, Elsevier, vol. 35(4), pages 417-443, July.
    13. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
    14. Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014. "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 41-55.
    15. Astrid Van Landschoot, 2004. "The Determinants of Credit Spreads," Financial Stability Review, National Bank of Belgium, vol. 2(1), pages 135-155, June.

More information

Research fields, statistics, top rankings, if available.


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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MON: Monetary Economics (2) 1999-07-12 1999-08-04
  2. NEP-ETS: Econometric Time Series (1) 1999-08-04
  3. NEP-FIN: Finance (1) 1999-08-04


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