Past literature has shown that continuous time affine credit risk pricing models have appealing counterparts in discrete time, namely ARG and VARG0 models based on autoregressive Gamma processes that need no Feller conditions. This paper clarifies that ARG and VARG0 models are part of a wider...

This monograph provides an extensive literature review of models of sovereign debt crisis and of the empirical literature on the determinants of sovereign spreads. Separate sections place emphasis on debt sustainability, multiple equilibria, and on models of self-fulfilling debt crises. The last...

This paper provides evidence of the liquidity-driven nature of sovereign debt crisis episodes, with an application to the case of Greece. The results of a Component GARCH model (CGARCH) of the Greek sovereign spread for data between Jan. 1999 and Dec. 2020 are provided. A long-term component of...

This document contains implementation notes related to Bang and Daboussi (2022) . We have extended the original paper by allowing actual accrual factors (not all 1) and non-annual frequency on the fixed side. The note first describes the detailed formulas in this extended setting. In a second...

We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of...

As interest rate benchmarks move from LIBOR to overnight Risk-Free Rates (RFR), it has become increasingly important for models to accurately capture the interest rate dynamics at the overnight tenor. Overnight rates closely track central bank policy rate decisions resulting, in highly...

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...

Periodic spikes and waves in daily stock return predictability appear across quarterly and other frequencies and dissipate at more distant lags in the term structure of predictability. A 'long ripple' across the term structure spans more than one year of lags. The term structure's level and...

A key question to estimate and understand term premium (TP) movements is to identify which macro variables affect TP and whether their effects are time-variant. To address these questions, we propose a new macro-finance arbitrage-free Nelson-Siegel model with regime shifts. In the model, two...