Modelling sovereign credit spreads with international macro-factors : the case of Brazil 1998 - 2009
Year of publication: |
2013
|
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Authors: | Liu, Zhuoshi ; Spencer, Peter D. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 2, p. 241-256
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Subject: | Affine term structure model | Macro-finance | Sovereign credit spread | International spillover | Macroeconomic volatility | Zinsstruktur | Yield curve | Brasilien | Brazil | Öffentliche Anleihe | Public bond | Kreditrisiko | Credit risk | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Risikoprämie | Risk premium | Internationaler Finanzmarkt | International financial market | Länderrisiko | Country risk | Welt | World | Theorie | Theory |
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