haku: @author Kao, C. / yhteensä: 7
viite: 6 / 7
| Tekijä: | Kao, C. Wu, C. |
| Otsikko: | A re-examination of the impact of credit ratings and economic factors on state bond yields |
| Lehti: | Review of Quantitative Finance and Accounting
1994 : MAR, VOL. 4:1, p. 59-78 |
| Asiasana: | BOND YIELDS CREDIT RATING MODELS |
| Kieli: | eng |
| Tiivistelmä: | In this article the authors re-examine the impact of credit ratings and economic factors on state bond yields using a two-step model. In the first step, they adopt an ordered probit technique to obtain consistent estimates of state bond default risk. In the second step, they estimate state bond risk premiums using a regression analysis with a categorized risk variable obtained from the first step. The model provides consistent estimates for the effects of ratings and economic factors on state bond yields. |
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