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.
|School Location:||United States -- New York|
|Source:||DAI-A 70/02, Dissertation Abstracts International|
|Keywords:||Asset pricing, Credit risk, Habit persistence, Macro-finance, Macroeconomics, New Keynesian, Structural equilibrium|
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