A non-parametric investigation of risk premia

Chiara Peroni ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: risk premium; corporate spread; default; additive models; non-parametric estimation. (search for similar items in EconPapers)
JEL-codes: C14 E44 G12 (search for similar items in EconPapers)
Date: 2008-02-11, Revised 2009-04-15
New Economics Papers: this item is included in nep-for, nep-ore and nep-rmg
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A Non-Parametric Investigation of Risk Premia (2009)
Working Paper: A non-parametric investigation of risk premia (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15010

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