Corporate Loan Spreads and Economic Activity

Anthony Saunders, Alessandro Spina, Sascha Steffen*, Daniel Streitz

*Corresponding author af dette arbejde

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

We use secondary corporate loan market prices to construct a novel loan market-based credit spread. This measure has additional predictive power across macroeconomic outcomes beyond existing bond credit spreads as well as other commonly used predictors in both the U.S. and Europe. Consistent with theoretical predictions, our evidence highlights the joint role of financial intermediary and borrower balance sheet frictions. In particular, loan market borrowers are compositionally different from bond market borrowers, which helps explain the differential predictive power of loan over bond spreads. Exploiting industry specific loan spreads and alternative weighting schemes further improves our business cycle forecasts.
OriginalsprogEngelsk
Publikationsdato2021
StatusUdgivet - 2021
BegivenhedThe Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021 - Virtual, Singapore
Varighed: 24 maj 20212 jun. 2021
Konferencens nummer: 8
https://abfer.org/events/abfer-events/annual-conference/235:immb2021

Konference

KonferenceThe Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021
Nummer8
LokationVirtual
LandSingapore
Periode24/05/202102/06/2021
Internetadresse

Emneord

  • Credit spreads
  • Secondary loan market
  • Bonds
  • Credit supply
  • Business cycle

Citationsformater