Macroeconomic effects of corporate default crisis: A long-term perspective

• 成果类型: Article
• 署名作者: Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; Strebulaev, Ilya A.
• 署名单位: Stanford University; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School; Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.014
• 发表日期: 2014
• 页码: 297-310
• 关键词: Banking crises; financial crises; Corporate default rates

摘要

Using an extensive data set on corporate bond defaults in the US from 1866 to 2010, we study the macroeconomic effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the US has experienced many severe corporate default crises in which 20-50% of all corporate bonds defaulted. Although the total par amount of corporate bonds has at times rivaled the amount of bank loans outstanding, we find that corporate default crises have far fewer real effects than do banking crises. These results provide empirical support for current theories that emphasize the unique role that banks and the credit and collateral channels play in amplifying macroeconomic shocks. (C) 2013 Elsevier B.V. All rights reserved.