DATA AND SOFTWARE ARCHIVE

JAE Article (forthcoming)
Title: Business and Default Cycles for Credit Risk
Authors: Siem Jan Koopman and Andre Lucas
Institution: Department of Econometrics. Free University Amsterdam
Address: De Boelelaan 1105. 1081 HV Amsterdam. Netherlands

==== TABLE 2 ====

We use three data series in our analysis of TABLE 2: QUARTERLY log real GDP,
credit spreads, and business failure rates. The third series, real GDP, is
taken from the data base of the Federal Reserve Bank of St.Louis (FRED). The
series contains GDP in chained 1996 dollars. From the same site, we also
obtain Moody's yields on Baa corporate bonds and the yield on government
bonds with a maturity exceeding 10 years. These are used to construct
quarterly credit spreads, defined as the difference between the two yields.
Our third series is from Dun and Bradstreet (1998) and contains quarterly
U.S. business failure rates per 10,000 companies over the period
1948Q1-1997Q4.

(Dun and Bradstreet (1998). Business failure record.
A comparative statistical analysis of geographic and industry
trends in business failures in the United States. Technical report.)


DATA TABLE 2

In file DataTable2.txt

ANALYSIS TABLE 2

Based on software program

STAMP 6.3 Structural Time Series Analyser. Modeller and Predictor. 2000.
by S.J. Koopman. A. C. Harvey. J. A. Doornik and N. Shephard.
London. Timberlake Consultants.

Specification:
Fixed level
Stochastic slope
Irregular (NO Autoregressive)
NO Seasonal
NO Cycle 1
Cycle 2
Cycle 3.
