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The term structure of credit spreads and the economic activity

Luisi, Maurizio ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO007.

We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B-rated corporate bonds in a doubly- stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables – indicators of real activity, inflation and financial conditions – as well as latent factors, as drivers of term structure dynamics. Our results...