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 language | English (US) |
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Pages (from-to) | 2693-2698 |
Number of pages | 6 |
Journal | Applied Economics |
Volume | 39 |
Issue number | 21 |
DOIs | |
State | Published - Dec 1 2007 |
Externally published | Yes |
ASJC Scopus subject areas
- Economics and Econometrics