An Equilibrium Model of Credit Risk and Asset Pricing

Lukas Schmid and João Gomes ()
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Lukas Schmid: Univerity of Lausanne

No 699, 2008 Meeting Papers from Society for Economic Dynamics

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

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed008:699

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