Factors Driving Risk Premia
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Abstract
Suggested Citation
DOI: 10.1787/738228687051
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Cited by:
- Papadamou, Stephanos & Siriopoulos, Costas, 2008. "Does the ECB Care about Shifts in Investors’ Risk Appetite?," MPRA Paper 25973, University Library of Munich, Germany.
- Coudert, Virginie & Gex, Mathieu, 2008.
"Does risk aversion drive financial crises? Testing the predictive power of empirical indicators,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
- Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
- Philipp Maier & Garima Vasishtha, 2008. "Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?," Staff Working Papers 08-25, Bank of Canada.
- Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
- Jaramillo, Laura & Weber, Anke, 2013.
"Bond yields in emerging economies: It matters what state you are in,"
Emerging Markets Review, Elsevier, vol. 17(C), pages 169-185.
- Laura Jaramillo & Miss Anke Weber, 2012. "Bond Yields in Emerging Economies: It Matters What State You Are In," IMF Working Papers 2012/198, International Monetary Fund.
- Ms. Laura E. Kodres & Kristian Hartelius & Kenichiro Kashiwase, 2008. "Emerging Market Spread Compression: Is it Real or is it Liquidity?," IMF Working Papers 2008/010, International Monetary Fund.
- Coudert, V. & Gex, M., 2006. "Can risk aversion indicators anticipate financial crises?," Financial Stability Review, Banque de France, issue 9, pages 67-87, December.
- Guler, Halil & Talasli, Anil, 2012. "Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis," MPRA Paper 51009, University Library of Munich, Germany.
- Laura Jaramillo & Ms. Michelle Michelle Tejada, 2011. "Sovereign Credit Ratings and Spreads in Emerging Markets: Does Investment Grade Matter?," IMF Working Papers 2011/044, International Monetary Fund.
More about this item
Keywords
analyse en composantes principales; analyse factorielle; factor analysis; fondamentaux; fundamentals; liquidity; liquidité; primes de risque; principal components; risk premia;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2004-05-09 (Finance)
- NEP-FIN-2005-08-13 (Finance)
- NEP-FMK-2005-08-13 (Financial Markets)
- NEP-RMG-2005-08-13 (Risk Management)
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