Forecasting credit losses with the reversal in credit spreads

Ding Du

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


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
StatePublished - May 2019


  • Charge-offs
  • Credit spreads

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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