Guo, Liang; Bruneau, Catherine - In: Revue d'économie politique 124 (2014) 5, pp. 817-857
This paper studies the influence of macroeconomic factors on credit risk. We apply the dynamic factor model (FAVAR type) proposed by Stock and Watson [2005]. We have two empirical applications, respectively in the United States and in the Euro area. In the two applications, the results suggest...