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...

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...

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

The euro area bank lending survey (BLS) serves as an important tool in the analysis of bank lending conditions in the euro area and across euro area countries, providing otherwise unobservable qualitative information on bank loan demand and supply from/to euro area enterprises and households....

In 2015, 70% of newly-issued leveraged loans had weaker enforcement features, called covenant-light or "cov-lite;" this is nearly a three-time increase in cov-lite issuance compared to a previous peak in 2007. We evaluate whether this development can be attributed to market overheating, increased...

In this paper the authors present an agent-based model of a credit network economy. The artificial economy includes different economic agents that interact using simple behavioral rules through various markets, i.e., the consumption goods market, the labor market, the credit market and the...

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

This paper investigates the housing and mortgage markets by means of an agent-based macroeconomic model of a credit network economy. A set of computational experiments have been carried out in order to explore the effects of different households' creditworthiness conditions required by banks in...

Whereas most research into microfinance tends to focus on the impact of access to such services, very little pays attention to what happens over time once a person becomes a client. The paper aims at analysing the conditions of loan renewals as most microfinance institutions foster client...