Are adjustments in the default risk premium asymmetric?

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

This article employs threshold cointegration and error-correction models to the default risk premium. The approach allows asymmetry in the dynamic process that has not been captured in previous studies of corporate credit spreads. The results indicate that the adjustment process is asymmetric and would be beneficial to investors and macroeconomic forecasters as the default risk premium may signal future business cycles.

Original languageEnglish (US)
Pages (from-to)2693-2698
Number of pages6
JournalApplied Economics
Volume39
Issue number21
DOIs
StatePublished - Dec 1 2007
Externally publishedYes

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Default risk
Risk premium
Investors
Business cycles
Error correction model
Dynamic process
Credit spreads
Macroeconomics
Threshold cointegration
Adjustment process
Asymmetry

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Are adjustments in the default risk premium asymmetric? / Thompson, Mark Andrew.

In: Applied Economics, Vol. 39, No. 21, 01.12.2007, p. 2693-2698.

Research output: Contribution to journalArticle

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