Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults

DOI10.1016/J.JEDC.2011.11.010zbMATH Open1242.91144OpenAlexW1997056162MaRDI QIDQ433370FDOQ433370

Roland Meeks

Publication date: 13 July 2012

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.11.010

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zbMATH Keywords

Bayesian vector autoregressioncorporate bond spreadsdefault ratessign restrictions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Cites Work

• The external finance premium and the macroeconomy: US post-WWII evidence
• Optimal contracts in a dynamic costly state verification model

Cited In (4)

• Credit market frictions and their direct effects on U.S. Manufacturing fluctuations
• Does credit default & other managerial implications affect stock market and related industry?
• Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

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