Credit Cycles and Macro Fundamentals

@inproceedings{Koopman2009CreditCA,
  title={Credit Cycles and Macro Fundamentals},
  author={Siem Jan Koopman and Roman Kr{\"a}ussl and Andre Lucas and Andre A. Monteiro},
  year={2009}
}
We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980–2005 we directly estimate the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our main… CONTINUE READING
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