This paper proposes a new Dynamic Stochastic General Equilibrium (DSGE) model with credit frictions and a banking …

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … expected credit losses, are responsible for these features. Building on the idea that corporate debt, while safe in ordinary … recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business …

-equity correlation is a historical rarity. Long gold and long credit protection portfolios sit in between puts and bonds in terms of both …