.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 …

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 …