Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets

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Subfields: Finance

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Uncertainty and Economic Activity: Evidence from Business Survey Data (2013, unknown): “Gilchrist et al. (2009) find a similar result for increases in the dispersion of firms’ sales growth.”
Macroeconomic Effects From Government Purchases and Taxes (2011, unknown): “In a recent study, Gilchrist, Yankov, and Zakrajsek (2009) argue that default spreads for corporate bonds compared to similar maturity U.S. Treasury bonds have substantial predictive power for macroeconomic variables for 1990 2008.”
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (2012, unknown): “Gilchrist, Yankov, and Zakrajšek (2009), who study the transmission of credit spread shocks to the broader economy within a structural framework, demonstrate that an unexpected widening of credit spreads leads to a significant contraction of economic activity and a fall in prices.”
Stock Market Liquidity and the Business Cycle (2011, unknown): “With respect to Cred , Gilchrist, Yankov, and Zakrajsek (2009) show that credit spreads contain substantial predictive power for economic activity.”
A model of unconventional monetary policy (2011, background): “where t is the leverage ratio for privately intermediated funds (see equations (13) and (15)), and where ct is the leverage ratio for total intermediated funds, public as well as well private:”