Dissertation/Thesis Abstract

Essays on macroeconomics and credit risk
by Gururaj, Sudarshan P., Ph.D., Columbia University, 2009, 152; 3348432
Abstract (Summary)

The first chapter of this dissertation empirically examines the impact of macroeconomic conditions on credit risk, particularly under shifting regimes. The second chapter links a new Keynesian macroeconomic model with a model of credit risk to demonstrate how macroeconomic conditions, namely output growth and inflation affect the credit risk of firms, as measured by credit spreads. In the third chapter, we capture more features of the empirical behavior of credit spreads by including time-varying preferences in the new Keynesian macroeconomic model with time-varying preferences, which allow for the regime changes we find empirically.

Indexing (document details)
Advisor: Giannoni, Marc
School: Columbia University
School Location: United States -- New York
Source: DAI-A 70/02, Dissertation Abstracts International
Subjects: Finance
Keywords: Asset pricing, Credit risk, Habit persistence, Macro-finance, Macroeconomics, New Keynesian, Structural equilibrium
Publication Number: 3348432
ISBN: 978-1-109-04142-2
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