Credit Risk and Disaster Risk

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资源简介

AEJ: Macroeconomics Best Paper Prize, 2015:

Gourio, François. 2013. "Credit Risk and Disaster Risk." American Economic Journal: Macroeconomics, 5(3): 1-34.

Abstract

Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, exogenously timevarying risk of economic disaster. The model replicates the level, volatility and cyclicality of credit spreads, and variation in the corporate bond risk premium amplifies macroeconomic fluctuations in investment, employment, and GDP.

Authors

Gourio, François (Federal Reserve Bank of Chicago and Boston U)

JEL Classifications

E13: General Aggregative Models: Neoclassical
E22: Capital; Investment; Capacity
E23: Macroeconomics: Production
E24: Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital
E32: Business Fluctuations; Cycles
E44: Financial Markets and the Macroeconomy
G32: Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

https://www.chicagofed.org/people/g/gourio-francois

François Gourio is a senior economist on the macroeconomics team in the economic research department at the Federal Reserve Bank of Chicago. In this position, he conducts research and policy analysis on business cycles, investment and financial markets.

Before joining the Chicago Fed in July 2012, Gourio was an associate professor of economics at Boston University, and a visiting assistant professor of finance at the Wharton school of the University of Pennsylvania. In addition to his position at the Chicago Fed, he is a faculty research fellow in the economic fluctuations program at the National Bureau of Economic Research, a board member for the Macro-Finance society and serves as associate editor for the Journal of Monetary Economics and the Journal of Money, Credit and Banking.

Gourio received an A.B. in economics and statistics from ENSAE (France), an M.Sc. in economics from the London School of Economics and a Ph.D. in economics from the University of Chicago.

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