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1.
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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in th[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, w[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bon[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different cr[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of cr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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