Exploring the Common Factors in the Term Structure of Credit Spreads

2008 ◽  
Author(s):  
Seung C. Ahn ◽  
Stephan Dieckmann ◽  
Marcos Fabricio Perez
Keyword(s):  
Term Structure ◽  
Common Factors ◽  
Credit Spreads ◽  
The Common

scholarly journals Common Factors in the Term Structure of Credit Spreads and Predicting the Macroeconomy in Japan

2021 ◽  
Vol 9 (2) ◽  
pp. 23
Author(s):  
Takeshi Kobayashi
Keyword(s):  
Business Cycle ◽  
Term Structure ◽  
Common Factors ◽  
Corporate Bond ◽  
Credit Spread ◽  
Credit Spreads ◽  
Real Economy ◽  
The Business Cycle ◽  
Bond Spreads ◽  
Predictive Content

This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on the entire term structure of the credit spread to predict the business cycle. We extend the dynamic Nelson-Siegel model to allow for both common and firm-specific factors. The results show that the estimated common factors are important drivers of individual credit spreads and have substantial predictive power for future Japanese economic activity. This study contributes to the literature by examining the relationship between firm-based credit spread curves and economic fluctuation and forecasting the business cycle.

scholarly journals N-soliton solutions and the Hirota conditions in (1 + 1)-dimensions

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Wen-Xiu Ma
Keyword(s):  
Common Factors ◽  
Soliton Solutions ◽  
Higher Order ◽  
Kdv Equations ◽  
The Common ◽  
Bilinear Formulation ◽  
Generalized Kdv Equations ◽  
Hirota Bilinear

Abstract We analyze N-soliton solutions and explore the Hirota N-soliton conditions for scalar (1 + 1)-dimensional equations, within the Hirota bilinear formulation. An algorithm to verify the Hirota conditions is proposed by factoring out common factors out of the Hirota function in N wave vectors and comparing degrees of the involved polynomials containing the common factors. Applications to a class of generalized KdV equations and a class of generalized higher-order KdV equations are made, together with all proofs of the existence of N-soliton solutions to all equations in two classes.

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

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