| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23704 |
| 来源ID | Working Paper 23704 |
| Cyclical Dispersion in Expected Defaults | |
| João F. Gomes; Marco Grotteria; Jessica A. Wachter | |
| 发表日期 | 2017-08-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | A growing literature shows that credit indicators forecast aggregate real outcomes. While researchers have proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings commonly attributed to credit cycles. Our key assumption is that firms have heterogeneous exposures to underlying economy-wide shocks. This leads to endogenous dispersion in credit quality that varies over time and predicts future excess returns and real outcomes. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w23704 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581375 |
| 推荐引用方式 GB/T 7714 | João F. Gomes,Marco Grotteria,Jessica A. Wachter. Cyclical Dispersion in Expected Defaults. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23704.pdf（515KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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