TY - JOUR
T1 - The response of the default risk premium to macroeconomic shocks
AU - Ewing, Bradley T.
PY - 2003
Y1 - 2003
N2 - This research is concerned with identifying the response of the default risk premium to shocks to real output growth, inflation, and the stance of monetary policy. The paper employs the newly developed technique of generalized impulse response analysis [Journal of Econometrics 74 (1996) 119; Economics Letters 58 (1998) 17], a method that does not impose a priori restrictions as to the relative importance each of these variables may play in the transmission process. The results show the extent and the magnitude of the relationship between the risk premium and macroeconomic factors.
AB - This research is concerned with identifying the response of the default risk premium to shocks to real output growth, inflation, and the stance of monetary policy. The paper employs the newly developed technique of generalized impulse response analysis [Journal of Econometrics 74 (1996) 119; Economics Letters 58 (1998) 17], a method that does not impose a priori restrictions as to the relative importance each of these variables may play in the transmission process. The results show the extent and the magnitude of the relationship between the risk premium and macroeconomic factors.
KW - Default risk premium
KW - Macroeconomics factors
KW - Vector autoregression
UR - http://www.scopus.com/inward/record.url?scp=0037410588&partnerID=8YFLogxK
U2 - 10.1016/S1062-9769(02)00147-3
DO - 10.1016/S1062-9769(02)00147-3
M3 - Article
AN - SCOPUS:0037410588
SN - 1062-9769
VL - 43
SP - 261
EP - 272
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
IS - 2
ER -