An Equilibrium Model of Credit Risk and Asset Pricing
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
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|Date of creation:||2008|
|Contact details of provider:|| Postal: Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA|
Web page: http://www.EconomicDynamics.org/society.htm
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