Results

CEP discussion paper

The equilibrium impact of credit frictions: evidence from default risk using firm-level data

This paper examines the impact of credit frictions arising from firm-level default risk on aggregate economic performance. We build a micro-to-macro model with heterogeneous firms and sector-specific production functions...Read more...

Journal article

International Review of Economics and Finance :

Bank default risk propagation along supply chains: evidence from the UK

How does banks' default risk affect the probability of default of non-financial businesses? The literature has focused on the banks' direct corporate customers. It fails to consider the role of supply chain relationships...Read more...

CEP discussion paper

Judge dread: court severity, repossession risk and demand in mortgage and housing markets

We study the impact of borrower protection on mortgage and housing demand. We focus on variation in the likelihood that a house is repossessed - conditional on the mortgage being in arrears and taken to court - coming fr...Read more...

CEP discussion paper

Bank default risk propagation along supply chains: evidence from the UK

How does banks? default risk affect the probability of default of non-financial businesses? The literature has addressed this question by focusing on the direct effects on the banks? corporate customers ? demonstrating t...Read more...

CEP discussion paper

The aggregate consequences of default risk: evidence from firm-level data

This paper studies the implications of perceived default risk for aggregate output and productivity. Using a model of credit contracts with moral hazard, we show that a firm?s probability of default is a sufficient stati...Read more...

Journal article

Journal of Banking and Finance:

The role of prepayment penalties in mortgage loans

We study the effect of mortgage prepayment penalties on borrowers? prepayments and delinquencies by exploiting a 2007 reform in Italy that reduced penalties on outstanding mortgages and banned penalties on newly-issued m...Read more...

CEP discussion paper

US Real Interest Rates and Default Risk in Emerging Economies

We empirically analyse the appropriateness of indexing emerging market sovereign debt to US real interest rates. We find that policy-induced exogenous increases in US rates raise default risk in emerging market economies...Read more...

CEP discussion paper

Optimal External Debt and Default

This paper analyses whether sovereign default episodes can be seen as contingencies of optimal international lending contracts. The model considers a small open economy with capital accumulation and without commitment to...Read more...