A Non-Parametric Investigation of Risk Premia

作者：Peroni Chiara^*

来源：Studies in Nonlinear Dynamics and Econometrics, 2009, 13(4): 2.

DOI：10.2202/1558-3708.1617

This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This study shows that non-linear methods are useful to investigate features of credit risk and that they give better results than their linear counterparts, enabling testing of affine term-structure specifications. The paper also shows how the non-linear model can be used to forecast the future course of the spread.

• 出版日期2009