Traces of business cycles in credit-rating migrations
نویسندگان
چکیده
منابع مشابه
Traces of business cycles in credit-rating migrations
Using migration data of a rating agency, this paper attempts to quantify the impact of macroeconomic conditions on credit-rating migrations. The migrations are modeled as a coupled Markov chain, where the macroeconomic factors are represented by unobserved tendency variables. In the simplest case, these binary random variables are static and credit-class-specific. A generalization treats tenden...
متن کاملCredit and Business Cycles
This paper presents two dynamic models of the economy in which credit constraints arise because creditors cannot force debtors to repay debts unless the debts are secured by collateral. The credit system becomes a powerful propagation mechanism by which the effects of shocks persist and amplify through the interaction between collateral values, borrowers' net worth and credit limits. In particu...
متن کاملCredit Risk and Business Cycles∗
We incorporate long-term defaultable corporate bonds and credit risk in a dynamic stochastic general equilibrium business cycle model. Credit risk amplifies aggregate technology shocks. The debt-capital ratio is a new state variable and its endogenous movements provide a propagation mechanism. The model can match the persistence and volatility of output growth as well as the mean equity premium...
متن کاملCorporate Credit Spreads and Business Cycles∗
I study the implications of fluctuations in corporate credit spreads for TFP and output. Motivated by that corporate credit spreads are countercyclical, I build a simple model in which the difference in default probabilities on corporate debts leads to the spread in interest rates paid by firms. In the model, firms finance their capital by issuing one-period bonds, and differ in the variance of...
متن کاملBanks, Credit Market Frictions, and Business Cycles
Abstract The current financial crisis highlights the need to develop DSGE models with real-financial linkages and an active banking sector. This paper proposes a fully micro-founded framework that incorporates optimizing banks, the interbank market, and the credit market into a DSGE model, and evaluates the role of banks and financial shocks in the U.S. business cycles. We assume two types of h...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: PLOS ONE
سال: 2017
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0175911