Modelling the Evolution of Credit Spreads in the United States

The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. The authors also estimate a liquidity function for each credit class and industry. Using data from individual firms, the authors estimate the probability of default under the natural measure and compare it with the estimated default frequencies produced by KMV.Financial markets; Market structure and pricing

Default Dependence: The Equity Default Relationship

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare the three models. We find that the stochastic barrier model performs better than the constant and uncertain barrier models in terms of both in-sample fit and out-of-sample forecasting of CDS premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and leverage ratios.Econometric and statistical methods; Financial markets

Do snap elections increase voters’ political trust? Evidence from Theresa May’s 2017 natural experiment suggests they do

Snap elections are an increasingly common occurrence in parliamentary democracies, but do these disruptions to the electoral calendar have consequences for voters’ trust in politics? Stuart J. Turnbull-Dugarte presents novel evidence from the 2017 snap election to show that voters are, on average, more trusting of government when provided with early summons to the polls

The UK’s sexuality gap: LGB voters remain significantly more supportive of the Labour party

Stuart J. Turnbull-Dugarte provides the first case study analysis of a sexuality gap between heterosexuals and self-identified lesbian, gay and bisexuals (LGB) in Britain. He finds that LGB voters are almost 10 percentage points more likely to vote for Labour and 14 percentage points more likely to vote for any socially liberal party via-à-vis their heterosexual peers

How sexuality affects the choices of voters across Europe

Drawing on a new study, Stuart J. Turnbull-Dugarte demonstrates that sexuality has a significant impact on political behaviour across western Europe, with lesbian, gay and bisexual voters far more likely to back parties on the left

Selfies, policies or votes?: How politicians can campaign effectively on Instagram

Twitter and Facebook have become crucial arenas for political competition, but what about Instagram? In new research, Stuart Turnbull-Dugarte assesses how parties in Spain have used the image-based social media platform and finds that political newcomers like Podemos and Ciudadanos are most effective at engaging voters, particularly when they focus on political leaders and mobilising supporters, but that policy communication is less effective

Madrid’s regional election: how we got here, what happened, and why it matters

On 4 May, the Popular Party, led by Isabel Díaz Ayuso, doubled their share of seats in a snap regional election in Madrid. Stuart J. Turnbull-Dugarte and José Rama react to the result, which also prompted the resignation of Pablo Iglesias, the leader of Podemos

Lessons from Junqueras: how ECJ decisions can increase opposition to the EU

Decisions taken by the European Court of Justice (ECJ) can generate substantial political debate, but do they help foster Euroscepticism? Stuart J. Turnbull-Dugarte and Dan Devine present evidence from a study of attitudes in Spain following an ECJ ruling on the case of the Catalan politician Oriol Junqueras in 2019. They find that those exposed to the ruling were 6% more likely to be Eurosceptic and 13% more likely to be dissatisfied with the way democracy works