We model aggregate loss rates on credit portfolios dynamically using a default intensity approach. The default intensity we employ is allowed to depend on both observable macroeconomic variables and unobserved frailties. We use the model to extract measures of the credit cycle from US bank...

We use an extensive loan-level dataset to study the influence of non-performing loans (NPLs) on the supply of bank credit to non-financial firms in Italy between 2008 and 2015. We use time-varying firm fixed effects to control for shifts in demand and changes in borrower characteristics, and we...

El actual contexto se caracteriza por restricciones en el acceso al crédito, aún habiendo fondos disponibles en tal sentido. Las pequeñas y medianas empresas necesitan del crédito para sostener inversiones en activos fijos y de trabajo y generar empleo, pero se les dificulta obtenerlo por...

Traditionally, the cost of debt is seen as solely dependent on firm or debt characteristics. However, a firm's cost of debt might also be impacted by the informational environment, thereby offering a link between security transparency, asset pricing, and corporate finance. This paper measures...

This study extends the generalized Ho–Lee model to the credit derivative swap (CDS) curve movements that ensures the hazard rate movement is arbitrage-free for any given CDS curve. This study shows that the generalized Ho–Lee model is not limited to pricing the interest contingent claims....

We evaluate and partially challenge the 'household leverage' view of the Great Recession. In the data, employment and consumption declined more in states where household debt declined more. We study a model where liquidity constraints amplify the response of consumption and employment to changes...

From 2010-2015, China liberalized margin lending, resulting in an unprecedented expansion of margin loans to financially constrained households. We implement a regression discontinuity design based on the ranking procedure used during the deregulation and estimate a large impact of this credit...

Does a shortage of safe assets sow the seeds of instability of financial system? This paper empirically explores the hypothesis of safe asset shortage-induced excess credit booms and financial instability. As an alternative step forward from the assumption of growth- or wealth-based demand for...

How does banking competition affect credit provision and growth? How does it affect financial stability? In order to identify the causal effects of banking competition, we exploit a discontinuity in bank capital requirements during the 19th century National Banking Era. We show that banks...

This paper constitutes a discussion of the rise of Peer-to-peer loans as alternative investments. Peer-to-peer loans are being incorporated into portfolios in the interest of diversification. This paper outlines this strategy and provides a guided tour of this new alternative asset class along...