An Equilibrium Model of Credit Risk and Asset Pricing
AbstractWe develop a stochastic general equilibrium model with heterogeneous firms which can default on their debt obligations. We calibrate the model to match the slient facts about the business cycle and show how it can be used to simultaneously match a number of stylized facts about both credit and equity markets
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Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 699.
Date of creation: 2008
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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
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