| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21879 |
| 来源ID | Working Paper 21879 |
| Credit-Market Sentiment and the Business Cycle | |
| David López-Salido; Jeremy C. Stein; Egon Zakrajšek | |
| 发表日期 | 2016-01-18 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Using U.S. data from 1929 to 2013, we show that elevated credit-market sentiment in year t – 2 is associated with a decline in economic activity in years t and t + 1. Underlying this result is the existence of predictable mean reversion in credit-market conditions. That is, when our sentiment proxies indicate that credit risk is aggressively priced, this tends to be followed by a subsequent widening of credit spreads, and the timing of this widening is, in turn, closely tied to the onset of a contraction in economic activity. Exploring the mechanism, we find that buoyant credit-market sentiment in year t – 2 also forecasts a change in the composition of external finance: net debt issuance falls in year t, while net equity issuance increases, patterns consistent with the reversal in credit-market conditions leading to an inward shift in credit supply. Unlike much of the current literature on the role of financial frictions in macroeconomics, this paper suggests that time-variation in expected returns to credit market investors can be an important driver of economic fluctuations. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21879 |
| 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/579554 |
| 推荐引用方式 GB/T 7714 | David López-Salido,Jeremy C. Stein,Egon Zakrajšek. Credit-Market Sentiment and the Business Cycle. 2016. |
| 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 | ||
| w21879.pdf（320KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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