This paper develops a Dynamic Stochastic General Equilibrium model which includes a financial sector to analyze the effects of liquidity shock and credit risk in the Brazilian economy. Banks use equity capital and deposits from agents to finance investments of the productive sector. The sources...

The goal of this paper is to identify the major determinants of the probability of default in a mortgage credit operation, which is backed by collateral. We use an exclusive data set with 268,036 loan contracts and apply logistic regression and Cox proportional hazards model in the estimation....