Modelling sovereign credit spreads with international macro-factors : the case of Brazil 1998 - 2009
Zhuoshi Liu; Peter Spencer
| Year of publication: |
2013
|
|---|---|
| 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
|
| Subject: | Affine term structure model | Macro-finance | Sovereign credit spread | International spillover | Macroeconomic volatility | Zinsstruktur | Yield curve | Brasilien | Brazil | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Risikoprämie | Risk premium | Volatilität | Volatility | Länderrisiko | Country risk | Internationaler Finanzmarkt | International financial market | Spillover-Effekt | Spillover effect |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009705703