Aggregated default counts show that macroeconomic fluctuations explain most annual variation, but cumulative contagion leaves a small detectable residual while threshold contagion does not.
Figure 10 decomposes the empirical variance into contributions from i.i.d
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Contagion or Macroeconomic Fluctuations? Identifiability in Aggregated Default Data
Aggregated default counts show that macroeconomic fluctuations explain most annual variation, but cumulative contagion leaves a small detectable residual while threshold contagion does not.