The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications

By M. Gertler, Cara S. Lown. 2000

290 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fe99b35a48915c1d8a96d9cbe0b45e0206862ec6

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Citations in the corpus

The Magnitude and Cyclical Behavior of Financial Market Frictions (2004, methodology): “Realized revenues in period t+ 1 are given by ωi,t+1R k itQtKit, where 5Further information on the cyclical properties of various yield spreads may be found in Stock and Watson (1989), Friedman and Kuttner (1992, 1998), and Gertler and Lown (1999).”
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “, Balduzzi, Elton, and Green (2001), Andersen, Bollerslev, Diebold, and Vega (2003), (2007), Green (2004), and Fleming and Piazzesi (2005)).”
Predictable Financial Crises (2020, background): “21 See, for example, Bernanke (1990), Friedman and Kuttner (1992), Gertler and Lown (1999), Gilchrist, Yankov, and Zakrajšek (2009), and Gilchrist and Zakrajšek (2012).”
Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets (2009, result): “This alternative is consistent with the findings of Gertler and Lown [1999] and Mueller [2007] who document a close relationship between changes in bank lending standards and credit market conditions over the course of the business cycle. As emphasized by Primiceri, Schaumburg, and Tambalotti [2006]”
Financial Factors in Economic Fluctuations (2010, unknown): “For other evidence on the countercylical nature of the external finance premium, see Gertler and Lown (1999), Levin, et al (2004) and Mody and Taylor (2003).”
Procyclicality of the financial system and financial stability: issues and policy options (2001, background): “More recently, the hypothesis has been tested with some success with time series macroeconomic data, with the spread between low- and high-quality corporate bonds being used as a proxy for the premium on external funding costs (Gertler and Lown (2000)).”
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.”
The External Finance Premium and the Macroeconomy: Us Post-Wwii Evidence (2008, unknown): “The fact that these indicators have substantial predictive content for business cycle uctuations is often interpreted as evidence for the existence of nancial frictions, e.g. Gertler and Lown (1999) and Mody and Taylor (2003).”
Banking System Stability (2007, unknown): “For example, Gertler and Lown (1999) have shown that it can be a good predictor of the business cycle, at least in the United States, and fluctuations in economic activity are the most important determinant of banks’ asset quality.”
Whither monetary and financial stability? the implications of evolving policy regimes (2004, unknown): “For example, Gertler and Lown (2000) find that in addition to moving contemporaneously with economic activity, the spread between low- and high-quality corporate bonds has good leading indicator properties at one-year horizons for output fluctuations since the mid-1980s.”