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Equilibrium Credit Spreads and the Macroeconomy

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Author Info

  • Lukas Schmid

    (Duke University)

  • Joao Gomes

    (University of Pennsylvania)

Abstract

reasonable amount of aggregate volatility.

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File URL: http://www.economicdynamics.org/meetpapers/2009/paper_1109.pdf
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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1109.

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Date of creation: 2009
Date of revision:
Handle: RePEc:red:sed009:1109

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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
Fax: 1-314-444-8731
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Web page: http://www.EconomicDynamics.org/society.htm
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References

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  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  2. Francois Gourio, 2006. "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers 846, Society for Economic Dynamics.
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Cited by:
  1. Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
  2. Tamon Takamura, 2013. "A General Equilibrium Model with Banks and Default on Loans," Working Papers 13-3, Bank of Canada.

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