Liquidity and credit risk premia in government bond yields
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References listed on IDEAS
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More about this item
Keywordsbond markets; liquidity premium; sovereign credit risk; state space models; yield curve modeling;
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
- NEP-CBA-2012-07-08 (Central Banking)
- NEP-EEC-2012-07-08 (European Economics)
- NEP-FMK-2012-07-08 (Financial Markets)
- NEP-UPT-2012-07-08 (Utility Models & Prospect Theory)
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