Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator

DOI10.1016/S0165-1889(00)00081-6zbMath0990.91033WikidataQ126865116 ScholiaQ126865116MaRDI QIDQ5958705

Noh-Sun Kwark

Publication date: 3 March 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

interest rategeneral equilibrium modeldefault risk

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items (2)

A defaultable bond model with cyclical fluctuations in the spread process ⋮ Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Cites Work

• Incentive-Compatible Debt Contracts: The One-Period Problem
• Time to Build and Aggregate Fluctuations
• Investment Under Uncertainty

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