Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)-defined as growth at the lower 5th percentile-more responsive than the median or upper...

Using panel quantile regressions for 11 advanced and 10 emerging market economies, weshow that the conditional distribution of GDP growth depends on financial conditions, withgrowth-at-risk (GaR)-defined as growth at the lower 5th percentile-more responsive thanthe median or upper percentiles....

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a "contagious" response of the market portfolio during the credit event. When...

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market portfolio. When this "contagion" channel is...