Based on a screening model, we hypothesize that borrower risk will be over- (under-)priced in recessions (booms), and the loan spreads' sensitivity to default risk as a function of economic growth will be inverse U-shaped. We test this prediction using a sample of 5,300 U.S. commercial loans...

During good economic times, the likelihood of obtaining a loan from a foreign bank increases in the borrower firm's opacity. During bad economic times (recessions), this relation reverses as the probability of obtaining a foreign loan decreases for all firms, but drops disproportionately for...

I propose a new model-free method for estimating long-run changes in expected volatility using VIX futures contracts. The method is applied to measure the effect on stock market volatility of scheduled macroeconomic news announcements. I find that looking at long-run changes gives qualitatively...