prepayment penalties allow lenders to lower mortgage rates and extend credit to the least creditworthy, with the largest benefits … going to the riskiest borrowers, who have the most incentive to refinance in response to positive credit shocks. Empirical … access to credit and raising rates for the least creditworthy borrowers …

-- high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of …

Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story … the dispersion of credit card interest rates nearly tripled, and the share of credit card debt of lower income households …

credit crisis of 2007-2008 …

We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy …-way feedback between financial and sovereign credit risk using data on the credit default swaps (CDS) of the Eurozone countries for … effect of the quality of sovereign guarantees on bank credit risk …

Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but …-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well …

This paper examines the evidence on the relationship between credit spreads and economic activity. Using an extensive … data set of prices of outstanding corporate bonds trading in the secondary market, we construct a credit spread index that … content of credit spreads is due primarily to movements in the excess bond premium. Innovations in the excess bond premium …

Intuition suggests that firms with higher cash holdings are safer and should have lower credit spreads. Yet empirically …, the correlation between cash and spreads is robustly positive and higher for lower credit ratings. This puzzling finding … are positively related to credit risk, resulting in a positive correlation between cash and spreads. In contrast, spreads …

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states …-specific credit shocks, we find that there is considerable heterogeneity across U.S. and European issuers in their sensitivity to …