Cyclical Dispersion in Expected Defaults

• 成果类型: Article
• 署名作者: Gomes, Joao F.; Grotteria, Marco; Wachter, Jessica A.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy085
• 发表日期: 2019
• 页码: 1275
• 关键词: rare disasters; RISK; INVESTMENT; BEHAVIOR; MARKETS; crises; debt

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.