Forecasting credit losses with the reversal in credit spreads

Research output: Contribution to journalArticle

1 Citation (Scopus)

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

Fingerprint

Reversal
Credit spreads
Credit
Loans
Charge

Keywords

  • Charge-offs
  • Credit spreads

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Forecasting credit losses with the reversal in credit spreads. / Du, Ding.

In: Economics Letters, Vol. 178, 01.05.2019, p. 95-97.

Research output: Contribution to journalArticle

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