Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … this paper, the authors examine two models recently developed for this purpose: a reduced-form model applied to credit …

from a variety of recent financial crises to the Canadian banking system. Three empirical results are obtained. First … banking system. Second, the October 1997 East Asian crisis induced contagion in Asian countries, and it quickly spread to … Latin American and G-7 countries. The contagion from the East Asian crisis to the Canadian banking system was not as strong …

-linearities in the credit channel. …

roughly twofold increase in the frequency of sales during the Great Recession. We also present evidence of countercyclical …