| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14863 |
| 来源ID | Working Paper 14863 |
| Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets | |
| Simon Gilchrist; Vladimir Yankov; Egon Zakrajsek | |
| 发表日期 | 2009-04-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. An advantage of our "ground-up'' approach is that we are able to construct matched portfolios of equity returns, which allows us to examine the information content of bond spreads that is orthogonal to the information contained in stock prices of the same set of firms, as well as in macroeconomic variables measuring economic activity, inflation, interest rates, and other financial indicators. Our portfolio-based bond spreads contain substantial predictive power for economic activity and outperform---especially at longer horizons---standard default-risk indicators. Much of the predictive power of bond spreads for economic activity is embedded in securities issued by intermediate-risk rather than high-risk firms. According to impulse responses from a structural factor-augmented vector autoregression, unexpected increases in bond spreads cause large and persistent contractions in economic activity. Indeed, shocks emanating from the corporate bond market account for more than 30 percent of the forecast error variance in economic activity at the two- to four-year horizon. Overall, our results imply that credit market shocks have contributed significantly to U.S. economic fluctuations during the 1990--2008 period. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14863 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572538 |
| 推荐引用方式 GB/T 7714 | Simon Gilchrist,Vladimir Yankov,Egon Zakrajsek. Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14863.pdf（482KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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