(AGENPARL) – COPENHAGEN gio 13 aprile 2023 We decompose fluctuations in stock prices into fundamental and noise shocks and estimate their effects on credit. Both shocks lead to a credit expansion, but only a noise shock results in a reversal if the anticipated shock fails to realise. A novel debt overhang channel is important for the propagation of noise shocks.
Fonte/Source: http://www.nationalbanken.dk/en/publications/Pages/2023/04/Working-Paper-When-credit-expansions-become-troublesome-The-story-of-investor-sentiments.aspx