A Pure Test for the Elasticity of Yield Spreads



Journal of Finance 53, 2225-2241.

Durbin, E. and D. Ng 2005. The sovereign ceiling and emerging market corporate bond
spreads. Journal of International Money and Finance. 24(4): 631-649

Elton, E. J., M. J. Gruber, D. Agrawal, and C. Mann, 2001, Explaining the rate spread on
corporate bonds,
Journal of Finance 56, 247-277.

Ericsson, J. and O. Renault (forthcoming), Liquidity and Credit Risk, Journal of Finance.

Fons, J. S., 1990, Default risk and duration analysis, in The High Yield Debt Market, edited
by Edward I. Altman. New York: Dow Jones Irwin, 18-40.

Gallant, A. R., and Jeffery J. Goebell, 1976, Nonlinear regression with autocorrelated errors,
Journal of the American Statistical Association 71, 961-966.

Giesecke, K. 2006, Default and information Journal of Economic Dynamics and Control
30 (11): 2281-2303

Hackbarth, D., J. Miao and E. Morellec (forthcoming),Capital structure, credit risk, and
macroeconomic conditions Journal of Financial Economics, (available online 4 August
2006).

Harvey C. R., 1997, The relation between the term structure of interest rates and Canadian
economic growth.
Canadian Journal of Economics 30, 169-93.

Jacoby, G., and G. S. Roberts, 2003, Default- and call-adjusted duration for corporate bonds,
Journal of Banking and Finance 27, 2297-2321.

Jarrow, R. A, Lando, D., Turnbull, S., 1997. A Markov model for the term structure of credit
risk spreads,
Review of Financial Studies 10, 481-522

Jorion, P. and W. N. Goetzmann, 2000. A Century of Global Stock Markets. (February 2000).

NBER Working Paper No. W7565.

Jordan, B. D., and S. D. Jordan, 1991, Tax options and the pricing of Treasury bond triplets:
Theory and evidence,
Journal of Financial Economics 30, 135-164.

Leland, H.E. 1994, Corporate debt value, bond covenants, and optimal capital structure,
Journal of Finance 49 (4), pp. 1213-1252.

33



More intriguing information

1. Party Groups and Policy Positions in the European Parliament
2. The name is absent
3. Can a Robot Hear Music? Can a Robot Dance? Can a Robot Tell What it Knows or Intends to Do? Can it Feel Pride or Shame in Company?
4. MULTIPLE COMPARISONS WITH THE BEST: BAYESIAN PRECISION MEASURES OF EFFICIENCY RANKINGS
5. Reform of the EU Sugar Regime: Impacts on Sugar Production in Ireland
6. Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information
7. The name is absent
8. The name is absent
9. The name is absent
10. Wounds and reinscriptions: schools, sexualities and performative subjects