Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002 - This version: October 15, 2002
We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...
