This paper explores the transmission of credit conditions into the real economy. Specifically, I examine the forecasting power of the term structure of credit spreads for future GDP growth. I find that the whole term structure of credit spreads has predictive power, while the term structure of Treasury yields has none. Using a parsimonious macro-finance term structure model that captures the jo...

Intertemporal preferences are di¢ cult to measure. We estimate time preferences using a structural bu¤er stock consumption model and the Method of Simulated Moments. The model includes stochastic labor income, liquidity constraints, child and adult dependents, liquid and illiquid assets, revolving credit, retirement, and discount functions that allow short-run and longrun discount rates to di¤e...

The financial market has been developing rapidly in recent years, and the issue of credit risk concerning listed companies become increasingly prominent. Therefore, predicting is an urgent concern for banks, regulators investors. commonly used models are Z-score, Logit (logistic regression model), kernel-based virtual machine (KVM) neural network models. However, results achieved could be more ...

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing intensity based credit risk models, while incorporating a security-specific credit information facto...

The international financial system has grown and evolved immensely over the past two decades. In the late 1950's the Eurocurrency market was only beginning to emerge, for all practical purposes there was no Eurobond market, and extensions of commercial credits were limited to the old commercial banking function of short term trade financing. All of that has changed. Total deposits in the Eurodo...

We introduce long-term debt and a maturity choice into dynamic model of production, firm financing, costly default. Long-term saves roll-over costs but increases future leverage default rates because commitment problem. The generates rich distributions choices, ratios, credit spreads across firms. It explains why larger older firms borrow at longer maturities, have higher leverage, pay lower sp...

Abstract The regulatory protection of credit consumers, in general, is paramount due to the considerable use credit, imbalanced bargaining positions contracting parties and adverse effect over-indebtedness on individuals society alike. These concerning factors are worsened case High-Cost Short-Term Credit (HCSTC) consumers owing their disadvantaged financial position other recognised vulnerabil...

This paper explains the relationship between the debt financing and market value from about 272 Chinese real estate companies, which are all from Shanghai Stock Exchange and Shenzhen Stock Exchange between 2002 and 2007.We conduct an empirical study, the empirical results show that our country’s real estate listing of corporate debt financing relatively large proportion of total assets, average...

The research aims to measure the credit shock and know extent which Iraqi private banks are exposed shocks, determine their impact on banking financial soundness represented by capital adequacy index causal relationship between adequacy, estimate of adequacy. Statistician (10EViews V.). study community was Selection sample made (10) Private listed Iraq Stock Exchange. This is for its contributi...