Pricing Under Distress

All results have been reviewed to ensure no confidential data are disclosed. The authors would like to thank Fernando Alvarez, Isaac Baley, Gadi Barlevy, Jesus Fernandez-Villaverde, Fabio Ghironi, Cosmin Ilut (discussant), Nils Gornemann, John Haltiwanger, Luminita Stevens, and seminar participants at the the University of Maryland, the IMF, the Federal Reserve Banks of Atlanta, Chicago, Cleveland, Philadelphia, and St. Louis, the BSE Summer Forum, the SITE Conference, among others. We are also grateful to Sebastian Gallardo and Eugene Oue for excellent research assistance. All remaining errors are our own. The views expressed in this paper are those of the authors and do not represent those of the IMF, IMF Management, or its Executive Board, nor those of the Central Bank of Chile or its Board, nor those of the National Bureau of Economic Research.