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"Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the...
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The Great Moderation in the U.S. economy was accompanied by a widespread increase in the volatility of financial variables. We explore the sources of the divergent patterns in volatilities by estimating a model with time-varying financial rigidities subject to structural breaks in the size of...
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We investigate the cyclical properties of non-bank credit and its relevance for financial stability. We construct a … measure of non-bank credit for a large sample of countries and find that its cyclical properties differ from those of bank … credit. Non-bank credit cycles are highly correlated with bank credit cycles in some countries but not in others. Moreover …
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We introduce a new software package for determining linkages between datasets without common identifiers. We apply these methods to three datasets commonly used in academic research on syndicated lending: Refinitiv LPC DealScan, the Shared National Credit Database, and S&P Global Market...
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