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This paper is the sole responsibility of its authors and the views presented here do not necessarily reflect those of the Banco de España. We much appreciate the detailed comments made by an anonymous referee and Julio Segura, which have helped us to improve the paper significantly. Moreover, we thank everyone at a CEMFI seminar for their numerous comments and suggestions, in particular, M. Arellano, S. Bentolila, O. Bover and R. Repullo. Comments from participants at the Second International Conference on Credit Risk held in Montréal, in particular, those from E. Altman, J. Dermine and M. Levonian as well as those from K. Roszbach and participants at the European Finance Association meeting in Maastritch were likewise gratefully received. We also thank A. Almazán for his comments to preliminary versions of this paper. Any errors that remain are, however, entirely the authors' own. Documentos de Trabajo. N.º 0420 2004 The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

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