Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity

• 成果类型: Article
• 署名作者: Anderson, Gareth; Cesa-Bianchi, Ambrogio
• 署名单位: International Monetary Fund; Bank of England
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210455
• 发表日期: 2024
• 页码: 417-446
• 关键词: monetary-policy surprises; transmission; BEHAVIOR; COSTS

摘要

Firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage in response to a monetary policy tightening. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default risk. A stylized heterogeneous firm model with default risk, financially constrained intermediaries, and segmented financial markets is able to account for these facts. Our findings imply that financial intermediaries play an important role in shaping the transmission of monetary policy to firm-level outcomes. (JEL D22, E43, E44, E52, G32)