Monetary Policy, Credit Spreads, and Business Cycle Fluctuations

By Edward Herbst, Dario Caldara. 2015

452 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/16e981b7bf69ef46c81bd3f1f215c0980919ff17

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Citations in the corpus

• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “πt+1 = π0 + ρπππt + ρ ′ πyY mac t + σπpωp,t+1 + σπnωn,t+1 + u π t+1 (30) ut+1 = σππωπ,t+1 (31)”
• Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises (2016, unknown): “We focus on three representative credit spreads: (1) The spread between the 3 month ABCP rate and 3 month Treasury spread, (2) The financial company commercial paper spread, and (3) The Gilchrist and Zakrajsek (2012) excess bond premium.”
• Monetary Policy Surprises, Credit Costs, and Economic Activity † (2014, background): “…analysis (e.g. Bernanke and Blinder (1992), Christiano, Eichenbaum, and Evans (1996))2 with high frequency identification (HFI) of the effects of policy surprises on interest rates (e.g. Kuttner (2001), Gürkaynak et al. (2005), Hamilton (2008), Campbell, Evans, Fisher, and Justiniano (2012)).”
• Identification of Financial Factors in Economic Fluctuations (2019, unknown): “…explain a sizeable share of business cycle fluctuations, with a large role for housing shocks as in our model, especially 1A partial list includes Gilchrist and Zakrajsek (2012) and Meeks (2012) for VAR analysis with exclusion restrictions, Hristov et al. (2012), Peersman (2012) and Peersman and…”
• Credit-Market Sentiment and the Business Cycle (2017, unknown): “Gertler and Lown (1999), Gilchrist, Yankov, and Zakraǰsek (2009), and Gilchrist and Zakraǰsek (2012), in contrast, emphasize the predictive content of spreads on long-term corporate bonds.”
• Household Leverage and the Recession (2011, unknown): “We provide further intuition for how the equilibrium interest rate responds to a credit shock by noting that equations (20) and (21) imply that the aggregate Euler equation in this economy is (1 + ∆t)βEt μt+1 μt Rt+1 = 1, where ( α α− 1 [(α− 1)∆t] 1 α −∆t )−1 − 1 = qtbt+1 yt = debt income (23)”
• What's Up with the Phillips Curve? (2020, unknown): “To do so, we follow Gilchrist and Zakrajsek (2012) and use their data on the excess bond premium (EBP) to identify a nancial shock that propagates through the economy like a typical demand shock, by depressing both real activity and in ation.”
• Investment and the Weighted Average Cost of Capital (2016, unknown): “Philippon (2009), Gilchrist and Zakrajsek (2007), and Gilchrist and Zakraǰsek (2012) study whether the cost of debt affects investment at the aggregate and firm levels.”
• Effects of Unconventional Monetary Policy on Financial Institutions (2014, unknown): “English et al. (2012) and International Monetary Fund (2013, chapter 3) extend the methodology to the study of the effect on commercial bank stock prices, and Kiley (2013) and Gilchrist and Zakrajsek (2012) examine the effect on corporate borrowing rates and default risk, respectively.”
• When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, unknown): “Gilchrist and Zakrajek (2012) show that, historically, elevated credit spreads are strongly associated with declines in future economic activity.”