This paper assesses whether the primary effect of the global crisis on Eastern European firms took the form of an adverse demand shock or a credit crunch. Using a unique firm survey conducted by the World Bank in six Eastern European countries during the 2008 e2009 financial crisis, the paper shows that the drop in demand for firms' products and services was overwhelmingly reported as the most ...

We compute and estimate the two risks that keep Brazilian interest rates extremely high: the currency and country risks. The Brazil risk is directly measured from fixed income instruments and derivatives, while the currency risk is estimated via Kalman Filter. Results identify a few important components of the Brazil risk, as the convertibility risk and the international financial markets condi...

This paper uses the “creditist” theoretical framework that explains credit rationing by financial market imperfections to analyze the developments in Thailand’s credit market during the 19971998 currency and financial crisis. In section II, after reviewing the literature, we propose our definition of a “credit crunch” and its transmission channels. Then, we look for empirical tests in Thailand ...

A conceptual framework for analyzing the credit rationing and the link between credit access and profitability is developed. The empirical analysis using data from manufacturing firms in Bulgaria, provides direct estimates of credit rationing and its impact on profitability in transition economies. The results from the switching regression suggest that the presence of credit market constraints ...

The goal of this work is to present a methodology aimed at valuation and hedging of basket credit derivatives, as well as of portfolios of credits/loans, in the context of several possible credit ratings of underlying credit instruments. The methodology is based on a specific Markovian model of a financial market. The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corp...

The mismatch between credit ratings of structured finance transactions and their true risks has been a source of the Global Financial Crisis which manifested in criticism of models and techniques applied by credit rating agencies (CRA). This paper provides an empirical study which assesses the historical performance of credit ratings for structured finance transactions and finds that CRAs do no...

The increasing dependence of individuals on debt financing raises several welfare considerations that we analyze in this paper. We develop a dynamic, competitive model of relationship banking to determine how regulation influences borrowing and lending behavior, and analyze how it affects welfare in the market. We characterize the lending regimes that arise based on public policy, and evaluate ...