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 …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend … and extension. Using empirical U.S. default data, we find that GDP growth, the term structure of interest rates and stock … a weak correspondence between industry credit cycle dynamics and general business cycles. …

are correlated with net tightening bank lending standards, implying that bank credit supply and systematic default risk …This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries … area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …