Corporate Loan Spreads and Economic Activity

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

*Corresponding author for this work

Research output: Contribution to conferencePaperResearchpeer-review


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.
Original languageEnglish
Publication date2021
Publication statusPublished - 2021
EventThe Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021 - Virtual, Singapore
Duration: 24 May 20212 Jun 2021
Conference number: 8


ConferenceThe Eighth Annual Asian Bureau of Finance and Economic Research. ABFER 2021
Internet address


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

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