Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2015
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries … other factors are of high importance as well. For all firms, deviations of systematic default risk from macro fundamentals … are correlated with net tightening bank lending standards, implying that bank credit supply and systematic default risk …