Using micro-level data, we construct a credit spread index with considerable predictive
power for future economic activity. We decompose the credit spread into a component that …

Employing a large number of financial indicators, we use Bayesian model averaging (BMA)
to forecast real-time measures of economic activity. The indicators include credit spreads …

Whether accounting or market-based information should be employed to predict corporate
default is a long-standing debate in finance research. Incorporating a regime-switching …

We study the effect of variation in interest rates on investment spending, employing a large
panel data set that links yields on outstanding corporate bonds to the issuer income and …

While using the binary quantile regression (BQR) model, we establish a hybrid bankruptcy
prediction model with dynamic loadings for both the accounting-ratio-based and market …

The depth and duration of the 2007–09 recession serves as a powerful reminder of the real
consequences of financial shocks. Although channels through which disruptions in financial …

Rating agencies claim to look through the cycle when assigning corporate credit ratings,
which entails that they are able to separate trend components of default risk from transitory …

Using a difference-in-differences method, this study examines the effect of a competitor's
Chapter 11 bankruptcy on a firm's risk-taking. The contingent nature of a competitor's …

This paper computes time-varying indicators of the relative importance of different credit
spread determinants, including rating, sector and country attribution as well as the coupon …

Despite intense criticism, agency credit ratings are still widely used in regulation and risk
management. One possible alternative is to replace them with quantitative default risk …