Forecasting credit losses with the reversal in credit spreads

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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.

Original languageEnglish (US)
Pages (from-to)95-97
Number of pages3
JournalEconomics Letters
Volume178
DOIs
StatePublished - May 1 2019
Externally publishedYes

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Keywords

  • Charge-offs
  • Credit spreads

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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