Dynamic Dispersed Information and the Credit Spread Puzzle
收藏NBER2014-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w19788
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资源简介：
We develop a dynamic nonlinear, noisy REE model of credit risk pricing under dispersed information that can theoretically and quantitatively account for the credit spread puzzle. The first contribution is a sharp analytical characterization of the dynamic REE equilibrium and its comparative statics.
提供机构：
美国国家经济研究局
创建时间：
2014-01-01
