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

DOI10.1016/J.JEDC.2011.11.010MaRDI QIDQ433370zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Bayesian vector autoregressioncorporate bond spreadsdefault ratessign restrictions

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(9)

• Credit market frictions and their direct effects on U.S. Manufacturing fluctuations
• Aggregate implications of corporate debt choices
• Revisiting the behavior of small and large firms during the 2008 financial crisis
• What do VARs tell us about the impact of a credit supply shock?
• 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
• The credit-output relationship during the recovery from recession
• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
• Banking sector concentration, credit shocks and aggregate fluctuations

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