Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and …