A quantitative analysis of risk premia in the corporate bond market
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Citations
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Cited by:
- Fan Li & Andrea Mercatanti & Taneli Mäkinen & Andrea Silvestrini, 2019. "A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds," Temi di discussione (Economic working papers) 1213, Bank of Italy, Economic Research and International Relations Area.
- Sara Cecchetti, 2020. "An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?," Temi di discussione (Economic working papers) 1271, Bank of Italy, Economic Research and International Relations Area.
- Joost Bats, 2020. "Corporates dependence on banks: The impact of ECB corporate sector purchases," Working Papers 667, DNB.
- Betz, Frank & De Santis, Roberto A., 2019. "ECB corporate QE and the loan supply to bank-dependent firms," Working Paper Series 2314, European Central Bank.
- Frank Betz & Roberto A. De Santis, 2022. "ECB Corporate QE and the Loan Supply to Bank-Dependent Firms," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 107-148, June.
- Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
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More about this item
Keywords
bond excess return; credit default swap; distress risk premium; expected default frequancy; jump-at-default risk premium;All these keywords.
JEL classification:
- B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- F30 - International Economics - - International Finance - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2017-11-05 (Financial Markets)
- NEP-RMG-2017-11-05 (Risk Management)
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