This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...

We study legal restrictions on private contracting in the form of limitations on the severity of non-monetary punishments. We locate the rationale for such restrictions in externalities that parties impose on future relationships: punishments that lower an agent's future productivity may lower...

We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...

We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...

Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...

Financial institutions (FIs) suffered from non-performing loans when debt-ridden firms failed. Nonetheless, FIs in Korea increased loans to distressed firms in the 1990s. Possible explanations for these loans include FIs having better inside information on borrowing firms, firms' sharing...