The Credit Spread Puzzle

By Jeffery D. Amato, Eli M. Remolona. 2003

230 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/b2ef0c10a356f7232ba996a34042ad51c0b7e4a0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Robert E. Hall
2. K. Sommer
3. P. Sullivan
4. Emmanuel Farhi
5. Ricardo J. Caballero

In Finance

1. Robert E. Hall
2. Robert J. Vigfusson
3. Lutz Kilian

Citations in the corpus

• Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “Using related calibration methodologies, Delianedis and Geske (2001) and Amato and Remolona (2003) reach a similar conclusion. Extending this logic, Huang and Huang (2003) (henceforth HH) calibrate various structural form models to match the average solvency ratios of firms of different rating categ”
• Bond Prices, Default Probabilities and Risk Premiums (2005, unknown): “Another explanation for the credit spread puzzle has been proposed by Amato and Remolona (2003).”
• Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, unknown): “i=1 (Zi − 1) ( 3 ) where Nt is a standard Poisson process with a jump intensity λ and ln(Zi) has a double-”
• The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “Indeed, this risk premium is estimated to be such a large part of credit spreads that Driessen (2005) and Amato and Remolona (2003) ha ve called the phenomenon the " credit spread puzzle " .”
• The High Sensitivity of Economic Activity to Financial Frictions (2011, background): “Amato and Remolona (2003) decompose total credit spreads into components associated with default probabilities, financial risk and other determinants, with citations to many earlier studies.”
• Liquidity Risk Premia in Corporate Bond Markets (2012, unknown): “Other reseachers have investigated whether jump risk premia can explain the credit spread puzzle (Amato and Remolona (2004), Collin-Dufresne, Goldstein, and Helwege (2003), Cremers, Driessen and Maenhout (2006), and Driessen (2005)).”