Abstract
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.
Originalsprog | Engelsk |
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Publikationsdato | 2021 |
Status | Udgivet - 2021 |
Begivenhed | The Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021 - Virtual, Singapore Varighed: 24 maj 2021 → 2 jun. 2021 Konferencens nummer: 8 https://abfer.org/events/abfer-events/annual-conference/235:immb2021 |
Konference
Konference | The Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021 |
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Nummer | 8 |
Lokation | Virtual |
Land/Område | Singapore |
Periode | 24/05/2021 → 02/06/2021 |
Internetadresse |
Emneord
- Credit spreads
- Secondary loan market
- Bonds
- Credit supply
- Business cycle