Default risk or the bond default premium
, is measured by the long term corporate to government yield spreads (DEF).
There is no risk or default premium
baked into British interest rates to indicate that fear of political-economic chaos down the road is discouraging investment.
t+1] stands for the default premium
, the spread between Moody's Baa and Aaa yields (Keim and Stambaugh, 1986).
1) As interest rates on this form of borrowing have been falling during the past three years, it is unlikely that any default premium
In the "Pricing the Default Risk" section the concept of default premium
in the zero-utility framework is posed.
Subtracting rates on comparable-maturity Treasuries from these yields produces something that looks like a default premium
The analysis shows that variables such as the market portfolio, the term structure, the default premium
, and the consumption-aggregate wealth ratio positively affect average asset returns and command positive risk premia while the inflation portfolio negatively affects returns and commands a negative premium.
This risksharing advantage translates into a lower default premium
on FDI and a smaller response to changes in a country's financing constraint.
As mentioned in the beginning of this section, we calculate the currency risk premium by adding the expected appreciation of the currency and subtracting the liquidity and default premium
from the interest rate differential.
government bonds with approximately 20 years to maturity minus the one-month TB return; DPREM is the default premium
The paper's findings are relevant for a number of default premium
Failure to make such a commitment can produce a number of problems, including an inefficient increase in the default premium
that the government must pay taxpayers to compensate them for the risk of tax transitions.