JEL Classification E44
"Financial Markets and the Macroeconomy"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E44 classification. (sorted by date) Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 Credit Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets
by Simon Gilchrist of Boston University,
Vladimir Yankov of Boston University, and
Egon Zakrajšek of the Federal Reserve Board
(497K PDF) -- 49 pages -- April 7, 2009 Monitoring Banking Sector Risks: An applied approach
by Christian Weistroffer of Deutsche Bank & Goethe University, and
Veronica Vallés of Deutsche Bank
(915K PDF) -- 43 pages -- October 28, 2008 Self-exciting Corporate Defaults: Contagion vs. frailty
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(512K PDF) -- 40 pages -- August 29, 2008 Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(307K PDF) -- 34 pages -- May 2008 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(195K PDF) -- 57 pages -- March 29, 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 2008 Default Risk and Income Fluctuations in Emerging Economies
by Cristina Arellano of the University of Minnesota & the Federal Reserve Bank of Minneapolis
(347K PDF) -- 33 pages -- July 2007 Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007 Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungor of the University of California, Los Angeles
(197K PDF) -- 19 pages -- November 13, 2006 Yongjun, Dragon and Tangy Hong Yanz, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. Remarks on Pricing Correlation Products
by Harald Skarke of Bank Austria Creditanstalt
(77K PDF) -- 6 pages -- July 17, 2005 Prediction of Bank Failures Using Combined Micro and Macro Data
by Chung-Hua Shen of National Cheng Chi University, and
Meng-Fen Hsieh of VanNung Institute of Technology
(2,141K PDF) -- 56 pages -- June 11, 2004 Stress Testing: A Review of Key Concepts
by Martin Čihák of the Cez National Bank
(333K PDF) -- 34 pages -- February 2004 Default Premia on European Government Debt
by Ingunn M. Lřnning of the Norges Bank
(107K PDF) -- 41 pages -- December 1999 Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(75K PDF) -- 6 pages -- May 1996
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