This paper examines mortgage credit markets and the need for government intervention to protect and advance the public interest. We identify as rationales for the public interest: positive and negative externalities, the promotion of equal access, and information asymmetry and principal agent...

This article presents the calculations confirming practical applicability of earlier formulated theoretical model explaining relationship between the rate of one-day credits in the interbank market, volume of speculative investments and total securities under which transactions have been closed....

Credit and information constraints can affect not only participation levels in different occupations, but also the types of individuals found in those occupations. I develop a model of occupational choice which shows how new information alters expectations and thus occupational choice. Credit...

We study how signaling affects equilibrium outcomes and welfare in markets with adverse selection. Using data from an online credit market, we estimate a model of borrowers and lenders where low reserve interest rates can signal low default risk. Comparing a market with and without signaling...

We develop a theoretical model quantifying how firm-level pandemic exposure and sentiment, as informational shocks, affect a firm’s credit spread and default risk. Consistent with model predictions, we find significantly positive impacts on single-name credit default swap (CDS) spreads from...

The COVID-19 pandemic has highlighted the impacts that rare disasters can have on credit markets. We discuss and quantify the asset-pricing implications of disaster risk on the risk-free rate, credit spreads, and their term structures. The findings underscore the heterogeneous effects of...

Implementing a multifactor signal in the corporate bond market into an actual portfolio is subject to many challenges. In general, corporate bonds have higher transaction costs compared to equities and a substantial amount is not traded at all for longer periods. This makes the implementation of...

We outline a parsimonious empirical model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and...