کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084216 1477836 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do macroeconomic variables matter for pricing default risk?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Do macroeconomic variables matter for pricing default risk?
چکیده انگلیسی
Using a popular three-factor term structure model that accounts for the correlation between default and interest rates to fit corporate bond yields, we uncover missing factors in the model. The principal component analysis indicates that the model residuals of bonds across different ratings and maturities are driven by some common factors. Further analysis shows that residuals exhibit significant negative correlation with the concurrent and lagged monthly returns of S&P 500. Our results suggest that the term structure model of corporate bonds should incorporate aggregate economic factors in order to better explain the term structure of corporate bond yields.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 17, Issue 2, 2008, Pages 279-291
نویسندگان
, , ,