Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … expected credit losses, are responsible for these features. Building on the idea that corporate debt, while safe in ordinary … cyclicality of credit spreads, and variation in the corporate bond risk premium amplifies macroeconomic fluctuations in investment …

economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models … response to house price growth or credit growth in the central bank's interest rate rule, the imposition of more restrictive … in the model economy. We find that while an interest-rate response to house price growth or credit growth can stabilize …

Credit constraints that link a private agent’s debt to market-determined prices embody a credit externality that drives … shocks trigger the credit constraint. We quantify the effects of this inefficiency in a two-sector dynamic stochastic general … equilibrium model of a small open economy calibrated to emerging markets. The credit externality increases the probability of …