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• W1489651284 abstract "This paper proposes a term structure model of risk-free yields and corporate credit spreads for the European bond market. In addition to latent factors, we include observable macro factors that are linked to inflation, real activity, and financial activity. Following the approach of Ang and Piazzesi (2003), we model the term structure simultaneously by using yield and macroeconomic data on the Euro zone for the January 2000-September 2008 period. Empirical evidence suggests that the European bond market is integrated to a significant degree. However, it has not yet reached the level of the U.S. bond market due to some residual segmentation and market frictions." @default.
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• W1489651284 date "2010-01-01" @default.
• W1489651284 modified "2023-09-26" @default.
• W1489651284 title "Are European Corporate Bond Markets Integrated? A Macro-Finance Term Structure Model Approach" @default.
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• W1489651284 doi "https://doi.org/10.2139/ssrn.1559027" @default.
• W1489651284 hasPublicationYear "2010" @default.
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