Are exogenous shocks to lending spreads in corporate credit markets a substantial source of macroeconomic fluctuations? An alternative explanation of the data is that borrowing costs respond endogenously to expectations of future default, driven by macroeconomic shocks. We investigate by imposing restrictions on a structural vector autoregression that isolate the influence of expected default on spreads. We find that adverse credit shocks have contributed to declining output in every post-1982 recession, and account for three-fifths of the decline in output during the 2007-2009 contraction. However, on average credit shocks account for only a fifth of business cycle fluctuations
This paper provides new insights into the relationship between the supply of credit and the macroeco...
This paper provides new insights into the relationship between the supply of credit and the macroeco...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuat...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
We explore the impact of possible non-linearties on credit risk in a VAR set-up. We look at two meas...
<p>We examine the dynamic effects of credit shocks using a large dataset of U.S. economic and financ...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
This paper provides new insights into the relationship between the supply of credit and the macroeco...
This paper provides new insights into the relationship between the supply of credit and the macroeco...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuat...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
We explore the impact of possible non-linearties on credit risk in a VAR set-up. We look at two meas...
<p>We examine the dynamic effects of credit shocks using a large dataset of U.S. economic and financ...
Recessions are often accompanied by spikes of corporate default and prolonged declines of business c...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
To identify disruptions in credit markets, research on the role of asset prices in eco-nomic fluctua...
This paper provides new insights into the relationship between the supply of credit and the macroeco...
This paper provides new insights into the relationship between the supply of credit and the macroeco...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...