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An Equilibrium Model of Credit Risk and Asset Pricing

Author

Listed:
  • Lukas Schmid

    (Univerity of Lausanne)

  • Joao Gomes

    (University of Pennsylvania)

Abstract

We 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

Suggested Citation

  • Lukas Schmid & Joao Gomes, 2008. "An Equilibrium Model of Credit Risk and Asset Pricing," 2008 Meeting Papers 699, Society for Economic Dynamics.
  • Handle: RePEc:red:sed008:699
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    References listed on IDEAS

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