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The Relationship Between Import Prices And Inflation In The United States, Thomas D. Corrigan
The Relationship Between Import Prices And Inflation In The United States, Thomas D. Corrigan
WCBT Faculty Publications
Inflation has been a non-issue in the United States in recent years despite strong economic growth, on balance, and falling unemployment. Some analysts believe that "new economy" dynamics are responsible for this favorable outcome and further claim that the traditional Phillips curve tradeoff between growth and inflation is no longer a valid assumption underlying economic policy decisions. Others believe that the Phillips curve is indeed alive and well but that favorable "supply shocks" have masked the still relevant tradeoff between growth and price stability. One potential "supply shock" candidate is a declining trend in the cost of imports into the …
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 …