Do macroeconomic variables matter for pricing default risk?

International Review of Economics and Finance

Volumn 17, Issue 2, 2008, Pages 279-291

  Yan, Alice Xie ^a   Shi, Jian ^b   Wu, Chunchi ^c  

^a UNIVERSITY OF MICHIGAN DEARBORN   (United States)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Defaultable bonds; Macroeconomic variables; Principal component; Residuals; Spot yields

Indexed keywords

EID: 39149103757     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2006.08.006     Document Type: Article

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