Corporate Loan Spreads and Economic Activity

• 成果类型: Article
• 署名作者: Saunders, Anthony; Spina, Alessandro; Steffen, Sascha; Streitz, Daniel
• 署名单位: New York University; Copenhagen Business School; University of Technology Sydney; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae084
• 发表日期: 2024
• 页码: 507
• 关键词: LIQUIDITY RISK; business-cycle; credit; debt; US; INFORMATION; CRISIS

摘要

We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fundamentals and financial frictions. Evidence suggests that supply-side frictions are a decisive factor in the forecasting ability of loan spreads.