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Replication data for: Credit Risk and Disaster Risk

Version
1
Resource Type
Dataset
Creator
  • Gourio, François
Publication Date
2013-07-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.5.3.1 (Text)
Publications
  • Gourio, François. “Credit Risk and Disaster Risk.” American Economic Journal: Macroeconomics 5, no. 3 (July 2013): 1–34. https://doi.org/10.1257/mac.5.3.1.
    • ID: 10.1257/mac.5.3.1 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Gourio, François (2013): Replication data for: Credit Risk and Disaster Risk. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114275V1