Credit spread and employment growth – a time-varying relationship?

Time - varying asset volatility and the credit spread puzzle ∗

Structural credit risk models have faced difficulties in matching observed market credit spreads while simultaneously matching default rates, recoveries, leverage and risk premia a shortcoming that has become known as the credit spread puzzle. We ask whether stochastic asset volatility, as an extension to this model class, has the ability to help resolve this puzzle. We identify that although t...

Age- and Time-varying Proportional Hazards Models for Employment Discrimination

We use a discrete-time proportional hazards model of time to involuntary employment termination. This model enables us to examine both the continuous effect of the age of an employee and whether that effect has varied over time, generalizing earlier work [Kadane and Woodworth J. Bus. Econom. Statist. 22 (2004) 182–193]. We model the log hazard surface (over age and time) as a thin-plate spline,...

A Credit Data Evolution: Evaluating the Predictive Power of Time-Varying Credit Bureau Data

Understanding the Relationship between Economic Growth, Employment and Poverty Reduction

Whether they are subsistence farmers, salaried workers, or self-employed entrepreneurs, poor people derive most of their income from work. This basic fact means that the level of employment, the quality of jobs, and the access which the poor have to decent earnings opportunities will be crucial determinants of poverty reduction. The intuition that jobs matter for development has not been lost o...

an investigation about the relationship between insurance lines and economic growth; the case study of iran

مطالعات قبلی بازار بیمه را به صورت کلی در نظر می گرفتند اما در این مطالعه صنعت بیمه به عنوان متغیر مستفل به بیمه های زندگی و غیر زندگی شکسته شده و هم چنین بیمه های زندگی به رشته های مختلف بیمه ای که در بازار بیمه ایران سهم قابل توجهی دارند تقسیم میشود. با استفاده از روشهای اقتصاد سنجی داده های برای دوره های 48-89 از مراکز ملی داده جمع آوری شد سپس با تخمین مدل خود بازگشتی برداری همراه با تعدادی ...