Data and Code for: Real Credit Cycles

Principal Investigator(s): View help for Principal Investigator(s) Pedro Bordalo, University of Oxford; Nicola Gennaioli, Università Bocconi; Andrei Shleifer, Harvard University; Stephen Terry, University of Michigan

Version: View help for Version V1

Name	File Type	Size	Last Modified
EMPIRICS			09/14/2025 05:53:PM
MODEL			03/02/2026 05:32:PM
README.pdf	application/pdf	177.9 KB	03/02/2026 03:08:PM
produce_results.sh	application/x-sh	8.4 KB	09/14/2025 01:53:PM

Project Citation:

Bordalo, Pedro, Gennaioli, Nicola, Shleifer, Andrei, and Terry, Stephen. Data and Code for: Real Credit Cycles. Nashville, TN: American Economic Association [publisher], 2026. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2026-03-03. https://doi.org/10.3886/E237827V1

Project Description

Summary: We embed diagnostic expectations in a workhorse neoclassical model with heterogeneous firms and risky debt. A realistic degree of overreaction estimated from US firms’ earnings forecasts generates realistic credit cycles. Good times produce economic and financial fragility, predicting future disappointment of expectations, low bond returns, and investment declines. To generate the size of spread increases observed during 2007-9, the model requires only moderate negative shocks. Diagnostic expectations offer a realistic, parsimonious way to produce financial reversals in business cycle models.

Scope of Project

Subject Terms: diagnostic expectations; overreaction; firm heterogeneity

JEL Classification:
E32 Business Fluctuations; Cycles

Geographic Coverage: United States

Time Period(s): 1999 – 2018

Universe: Publicly listed US firms

Data Type(s): aggregate data; observational data

Methodology

Data Source: CRSP/Compustat Merged Database, I/B/E/S Database, WRDS US Corporate Bond Database, FRB St. Louis FRED Database, John Fernald's Aggregate US TFP Data

Unit(s) of Observation: Quarter, Year, Firm x Fiscal Year

Related Publications

Download this project

Published Versions

V1 [2026-03-03]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as received from the data depositor. As of April 2026, depositors are required to submit study materials in accessible formats. ICPSR has not reviewed, checked, or processed this material. For additional information about the study, please contact the investigator(s) directly. If you have questions about the accessibility of materials distributed by ICPSR or require further assistance, please visit ICPSR's Accessibility Center.