Forecasting credit losses with the reversal in credit spreads

Ding Du

doi:10.1016/j.econlet.2019.02.010

Forecasting credit losses with the reversal in credit spreads

Ding Du

Business, The W.A. Franke College of (CoB)

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 language	English (US)
Pages (from-to)	95-97
Number of pages	3
Journal	Economics Letters
Volume	178
DOIs	https://doi.org/10.1016/j.econlet.2019.02.010
State	Published - May 2019

Keywords

Charge-offs
Credit spreads

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2019.02.010

Cite this

@article{3e25349d84204cb991894f380f85919c,

title = "Forecasting credit losses with the reversal in credit spreads",

abstract = "L{\'o}pez-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",

author = "Ding Du",

note = "Publisher Copyright: {\textcopyright} 2019",

year = "2019",

month = may,

doi = "10.1016/j.econlet.2019.02.010",

language = "English (US)",

volume = "178",

pages = "95--97",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

}

TY - JOUR

T1 - Forecasting credit losses with the reversal in credit spreads

AU - Du, Ding

PY - 2019/5

Y1 - 2019/5

N2 - 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.

AB - 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.

KW - Charge-offs

KW - Credit spreads

UR - http://www.scopus.com/inward/record.url?scp=85062598544&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85062598544&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2019.02.010

DO - 10.1016/j.econlet.2019.02.010

M3 - Article

AN - SCOPUS:85062598544

SN - 0165-1765

VL - 178

SP - 95

EP - 97

JO - Economics Letters

JF - Economics Letters

ER -

Forecasting credit losses with the reversal in credit spreads

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this