Credit Spreads and Business Cycle Fluctuations

American Economic Review - Tập 102 Số 4 - Trang 1692-1720 - 2012
Simon Gilchrist1, Egon Zakrajšek2
1Department of Economics, Boston University, 270 Bay State Road, Boston, MA 02215, and the National Bureau of Economic Research.
2Division of Monetary Affairs, Federal Reserve Board, 20th Street and Constitution Avenue NW, Washington, DC 20551.

Tóm tắt

Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and asset prices. An increase in the excess bond premium appears to reflect a reduction in the risk-bearing capacity of the financial sector, which induces a contraction in the supply of credit and a deterioration in macroeconomic conditions.

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Thông tin
Thông tin xuất bản

American Economic Review

Tập 102 Số 4

1692-1720

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