different PD estimation methods--cohort and duration (intensity)--using twenty-two years of credit ratings data. We find that …

]) or a response to variations in the aggregate volume of credit (as proposed by Christiano et al. [2007]). We then examine … in the financial sector that increase equilibrium spreads and contract the supply of credit. We conduct our analysis … using a simple DSGE model with credit frictions (Curdia and Woodford 2009), comparing the equilibrium responses to various …

--in particular, balance sheet constraints and counterparty credit risk. The empirical evidence supports the Fed's views on the … primacy of balance sheet constraints in the earlier stages of the crisis and the increased prominence of counterparty credit …