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Cyclical dispersion in expected defaults

Author: Joao Gomes; Marco Grotteria; Jessica Wachter; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2017.
Series: Working paper series (National Bureau of Economic Research), no. 23704.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A growing literature shows that credit indicators forecast aggregate real outcomes. While researchers have proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings commonly attributed to credit cycles. Our key assumption is that firms have heterogeneous exposures to underlying  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Joao Gomes; Marco Grotteria; Jessica Wachter; National Bureau of Economic Research,
OCLC Number: 1001814413
Notes: "August 2017"
Includes online appendix (17 pages).
Description: 1 online resource (35 pages, 14 unnumbered pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 23704.
Responsibility: Jõao F. Gomes, Marco Grotteria, Jessica A. Wachter.

Abstract:

A growing literature shows that credit indicators forecast aggregate real outcomes. While researchers have proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings commonly attributed to credit cycles. Our key assumption is that firms have heterogeneous exposures to underlying economy-wide shocks. This leads to endogenous dispersion in credit quality that varies over time and predicts future excess returns and real outcomes.

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