Recent empirical evidence on the cross-country synchronization of credit spreads in response to US monetary policy … shocks has led to the notion of an ‘international credit channel' of US monetary policy. This paper provides novel evidence … on the existence of an international credit channel for the transmission of US financial shocks across borders, and …

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of … credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these …

The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show … two risk factors, which are readily measurable with the daily frequency, in addition to corporate credit risk, the …

Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting … with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction … of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results …