Replication data for: Credit Risk and Disaster Risk
Principal Investigator(s): View help for Principal Investigator(s) François Gourio
Version: View help for Version V1
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| filesrep_AEJmacro_2011_064 | 10/12/2019 09:47:PM | ||
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text/plain | 14.6 KB | 10/12/2019 05:47:PM |
Project Citation:
Gourio, François. Replication data for: Credit Risk and Disaster Risk. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114275V1
Project Description
Summary:
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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 fairly safe in ordinary recessions, is exposed to economic
depressions, this paper embeds a trade-off theory of capital structure
into a real business cycle model with a small, exogenously timevarying
risk of economic disaster. The model replicates the level,
volatility and cyclicality of credit spreads, and variation in the
corporate bond risk premium amplifies macroeconomic fluctuations
in investment, employment, and GDP.
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E22 Investment; Capital; Intangible Capital; Capacity
E23 Macroeconomics: Production
E24 Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
E13 General Aggregative Models: Neoclassical
E22 Investment; Capital; Intangible Capital; Capacity
E23 Macroeconomics: Production
E24 Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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