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•We investigate households debt repayment behaviour using a unique source of micro-data.•The data records households default and arrears, but also provides information on those households who are not given credit.•The data allows us to avoid implausible identification assumptions and provide partial identification for the effect of various factors on household repayment behaviour.•Among those factors,...
This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit spread can be attributed largely to...
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