Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
Year of publication: |
2013
|
---|---|
Authors: | Liu, Zhuoshi ; Spencer, Peter |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 2, p. 241-256
|
Publisher: |
Elsevier |
Subject: | Affine term structure model | Macro-finance | Sovereign credit spread | International spillover | Macroeconomic volatility |
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