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   "convention_notes": "Notes state the monthly sample period 1973-2011 and define the VAR-implied long-run coefficient formula. Panels separate long-run credit-loss and excess-return coefficients and report volatility ratios. Summary statistics are shown both raw and cross-sectionally demeaned, with variables in percent.",
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    "claim": "Long-run expected credit loss volatility is about two-thirds of credit spread volatility in the cross-section.",
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