This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity-credit …--on average, they occur every five years. By comparison, banking crises take place every eight years on average. Credit reversals …

We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters … credit allocation, captured by Greenwood and Hanson (2013)'s ISS indicator, helps predict downside risks to GDP growth and … systemic banking crises, two to three years ahead. Our analysis indicates that the riskiness of credit allocation is both a …

Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting … with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction … of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results …

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration … credit risk during the period of the recent financial crisis …

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to …

in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex … LCFIs'' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the …

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS … macro-fiscal cost of efforts aimed at curbing the spread of the disease could undermine credit worthiness and eventually …

-service-to-income ratios, in affecting developments in house prices and credit. We use data on 99 lending standard restrictions implemented in … house prices and credit. However, the impact is delayed and reaches its peak only after three years. In addition, the impact …