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Business and Default Cycles for Credit Risk
Koopman, Siem Jan; Lucas, André - 2003
.S. data on real GDP, credit spreads, and business failure rates to shed new light on the empirical evidence. We use a …-movements arise between default rates, but not real GDP. There is, however, a contemporaneous correlation between real GDP and default … rates. Regarding the longer term evolution of the series, credit spreads influence default rates and real GDP, but not vice …
Persistent link: https://www.econbiz.de/10010324897
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - 2003
.S. data on real GDP, credit spreads, and business failure rates to shed new light on the empirical evidence. We use a …-movements arise between default rates, but not real GDP. There is, however, a contemporaneous correlation between real GDP and default … rates. Regarding the longer term evolution of the series, credit spreads influence default rates and real GDP, but not vice …
Persistent link: https://www.econbiz.de/10011333881
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Credit cycles and macro fundamentals
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...
Persistent link: https://www.econbiz.de/10011348707
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Cyclicality of credit supply : firm level evidence
Becker, Bo; Ivashina, Victoria - In: Journal of monetary economics 62 (2014), pp. 76-93
Persistent link: https://www.econbiz.de/10010437706
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Determinants of the credit cycle : a flow analysis of the extensive margin
Cuciniello, Vincenzo; Di Iasio, Nicola - 2021
Using loan-level data covering almost all loans to households and businesses from banks in Italy over the past 20 years, we offer new empirical evidence that credit declines during a recession primarily because of the reduction in the net creation of borrowers. We then build on a flow approach...
Persistent link: https://www.econbiz.de/10012622824
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The asymmetric effects of monetary policy on economic activity in Turkey
Kilinc, Mustafa; Tunç, Cengiz - In: Structural change and economic dynamics : SC+ED 51 (2019), pp. 505-528
Persistent link: https://www.econbiz.de/10012301019
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Lead-lag relationship between credit and output cycles : case of India and US
Avyukt, Anusha - 2018
Persistent link: https://www.econbiz.de/10011939481
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Credit market developments and sectoral business cycles worldwide
Ulussever, Talat; Kilinc, Mustafa - In: Macroeconomic dynamics 28 (2024) 1, pp. 147-203
Persistent link: https://www.econbiz.de/10014465388
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Recession propagation in small regional economies : spatial spillovers and endogenous clustering
Shibaev, Sergei S. - 2016
This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...
Persistent link: https://www.econbiz.de/10011567460
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Rental Tenure Type and MSA-Level House Price Recovery from the Great Recession
Devine, Avis - 2011
Most United States MSAs saw their house prices plummet during the recent Great Recession. While many are only beginning to pull away from their lowest house prices in recent history, other MSAs are already well on their way to house price recovery. We believe that one attribute which separates...
Persistent link: https://www.econbiz.de/10013121957