Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
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- Siem Jan Koopman & André Lucas, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
- Siem Jan Koopman & André Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003.
- Lee, Yongwoong & Poon, Ser-Huang, 2014. "Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 69-92.
- Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December.
- Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
- Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
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- George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007.
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
- Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2002. "Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries," Monash Econometrics and Business Statistics Working Papers 20/02, Monash University, Department of Econometrics and Business Statistics.
- Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2006. "Nonlinear autoregressive leading indicator models of output in G-7 countries," CAMA Working Papers 2006-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- (Kim | Lopez-Salido | Swanson) & Andrew Levin, 2004.
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- Andrew T. Levin & Fabio M. Natalucci & Egon Zakrajšek, 2004. "The magnitude and cyclical behavior of financial market frictions," Finance and Economics Discussion Series 2004-70, Board of Governors of the Federal Reserve System (U.S.).
- Won-Gi Kim & Noh-Sun Kwark, 2012. "Leading Behavior of Interest Rate Term Spreads and Credit Risk Spreads in Korea," Working Papers 1203, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
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- Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
- Mr. Jorge A Chan-Lau & Mr. Iryna V. Ivaschenko, 2002. "The Corporate Spread Curve and Industrial Production in the United States," IMF Working Papers 2002/008, International Monetary Fund.
- Nandy, Monomita & Lodh, Suman, 2012. "Do banks value the eco-friendliness of firms in their corporate lending decision? Some empirical evidence," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 83-93.
- Tarik Bazgour & Federico Platania, 2022. "A defaultable bond model with cyclical fluctuations in the spread process," Annals of Operations Research, Springer, vol. 312(2), pages 647-672, May.
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