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Social and Behavioral Sciences Commons™
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Articles 1 - 3 of 3
Full-Text Articles in Social and Behavioral Sciences
Credit Risk Dynamics In Response To Changes In The Federal Funds Target: The Implication For Firm Short-Term Debt, Kwamie Dunbar, Abu S. Amin
Credit Risk Dynamics In Response To Changes In The Federal Funds Target: The Implication For Firm Short-Term Debt, Kwamie Dunbar, Abu S. Amin
WCBT Faculty Publications
The recent credit crisis has raised a number of interesting questions regarding the role of the Federal Reserve Bank and the effectiveness of its expected and unexpected interventions in financial markets, especiallyduring the crisis, given its mandate. This paper reviews and evaluates the impact of expected and unexpected changes in the federal funds rate target on credit risk premia. The paper's main innovation is the use of an ACH-VAR (autoregressive conditional hazard VAR) model to generate the Fed's expected and unexpected monetary policy shocks which are then used to determine the effects of a Federal Reserve policy change on counterparty …
A Theory Of Vertical Political Interaction In Cigarette Taxation, Khawaja Mamun
A Theory Of Vertical Political Interaction In Cigarette Taxation, Khawaja Mamun
WCBT Faculty Publications
This paper examines the political interdependence of federal and state cigarette tax rates. We develop a lobby group model where a state’s endogenous reaction to a federal cigarette tax hike depends crucially on the political responses of the cigarette producer and anti-smoking lobby groups.
An Empirical Review Of Us Corporate Default Swap Valuation: The Implications Of Functional Forms, Kwamie Dunbar
An Empirical Review Of Us Corporate Default Swap Valuation: The Implications Of Functional Forms, Kwamie Dunbar
WCBT Faculty Publications
This paper first develops a reduced form three-factor model for valuing credit default premia that is used to provide implicit prices which are then compared with market prices of credit default swaps to determine if swap rates adequately reflects market risks. This model extends Jarrow (2001) two-factor model by adding three new features to enhance the effectiveness of the model and add to the growing debate on the empirical pricing of credit default swap and the effectiveness of reduce form models. Firstly, the extended model retains Jarrow's mean reverting properties but will be extended to be arbitrage free because of …