How much credit should be given to credit spreads?

This paper sets out to assess the information that can be derived from spreads between yields on government bonds, considered as having a zero default probability, and yields on risky bonds, i.e. whose default probability is not zero. In the first part, we shall give a reminder of the main theoretical approaches used for calculating default risk and its term structure, and, in the second part, we shall examine the difficulties encountered in the empirical analysis of credit spreads. We shall also focus on the problems involved in measuring spreads and the limitations of their information content, given that they may reflect, above and beyond the default risk, the existence of a liquidity risk.

Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area.

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and between the aforementioned variables and a monetary policy indicator (the three-month real interest rate) on the other. Given that there is no single definition for the business cycle, we take three different approaches: we identify the turning points in the series and then estimate a concordance index; we decompose and compare the cyclical components of the series; and we calculate dynamic correlations across the variables. We find a better convergence of real than financial cycles between the new EU members and the euro area. There is no a high degree of dependence between loans and industrial output in all countries; yet, monetary policy appears to smooth the distribution of credit throughout the cycles.Co-movements ; Turning points ; Spectral analysis ; Credit cycle ; Business cycle ; New EU member states.

Analyse des cycles réels, du crédit et de taux d’intérêt : Pologne, Hongrie, République tchèque et zone euro.

Co-mouvement, cycle, crédit, taux d’intérêt, production industrielle, nouveaux pays membres de l’UE.

Determination of potassium and rubidium in the presence of each other

Method sheet 900/12 RESP-562