Are adjustments in the default risk premium asymmetric?

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


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
Issue number21
StatePublished - Dec 1 2007
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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