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Analyzing the Changing Term Structure and Expectations
of U.S. Treasury Default Risk

Srinivas Nippani and Stanley D. Smith
The Journal of Fixed Income Summer 2012, 22 (1) 52-60; DOI: https://doi.org/10.3905/jfi.2012.22.1.052
Srinivas Nippani
is a professor of finance in the Department of Economics and Finance at Texas A&M University-Commerce in Commerce, TX.
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  • For correspondence: sri.nippani@tamuc.edu
Stanley D. Smith
is a professor of finance in the Department of Finance, UCF College of Business Administration at University of Central Florida in Orlando, FL.
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  • For correspondence: ssmith@bus.ucf.edu
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Abstract

This article extends the recent studies of Liu et al. [2009] and Nippani and Smith [2010] that show that both short-term and long-term Treasury securities now include a default risk premium. Using a regression model that includes the spread between SWAPs and Treasury securities of different maturities, it is shown that the term structure of Treasury securities now exhibits default risk premia. These premia vary across time and maturity. Evidence from forward rates supports the conclusion and also allows one to estimate the timing of the default risk problems.

TOPICS: Analysis of individual factors/risk premia, fixed-income portfolio management, interest-rate and currency swaps, developed markets [US]

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Analyzing the Changing Term Structure and Expectations
of U.S. Treasury Default Risk
Srinivas Nippani, Stanley D. Smith
The Journal of Fixed Income Jun 2012, 22 (1) 52-60; DOI: 10.3905/jfi.2012.22.1.052

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Analyzing the Changing Term Structure and Expectations
of U.S. Treasury Default Risk
Srinivas Nippani, Stanley D. Smith
The Journal of Fixed Income Jun 2012, 22 (1) 52-60; DOI: 10.3905/jfi.2012.22.1.052
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