Granular Credit Risk

The views expressed are those of the authors and do not necessarily reflect those of Norges Bank, the Haut Conseil de Stabilité Financière, or the National Bureau of Economic Research.We thank our discussants Sebastian Doerr, Ralph Koijen, Shohini Kundu, José-Luis Peydró, Diane Pierret and Daniel Paravisini, as well as Christoph Basten, Svetlana Bryzgalova, Andreas Fagereng, Julian di Giovanni, Francisco Gomes, Refet Güurkaynak,Victoria Ivashina, Joseba Martinez, Atif Mian, Steven Ongena, Elias Papaioannou, Anna Pavlova, Kasper Roszbach, Stephen Schaefer, Vania Stavrakeva, Kjetil Storesletten, Paolo Surico, Gianluca Violante, Anette Vissing-Jorgensen and seminar and conference participants at numerous venues for useful comments. We are also very grateful to Livia Chitu and Sofia Gori for providing access to and assistance with AnaCredit, which helped us assess the generalizability of our findings to other Euro Area countries. We thank Mikkel Riiser for excellent research assistance. Rey is very grateful to the ERC (Advanced Grant 695722). Send correspondence to Hélène Rey.

• October 22, 2020
• December 23, 2021
• October 18, 2023