Forecasting credit losses with the reversal in credit spreads

Ding Du

Economics Letters, 2019, vol. 178, issue C, 95-97

Abstract: López-Salido et al. (2017) find that there is predictable reversal in credit spreads. Because in theory credit spreads reflect expected future credit losses, we explore if the predictable reversal in credit spreads helps forecast loan charge-offs, particularly for big banks. Empirically, we find robust supporting evidence.

Keywords: Charge-offs; Credit spreads (search for similar items in EconPapers)
JEL-codes: E32 G20 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:178:y:2019:i:c:p:95-97

DOI: 10.1016/j.econlet.2019.02.010

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