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 …