We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be … relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we …

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …

We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in … bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond … yield spreads as bank credit supply tightens. Debt inflexibility also amplifies the impact of firm-specific tightening in …

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … overnight index swap. We have price data at the individual bank level and, unique to this paper, data on individual banks …