Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality

• 成果类型: Article
• 署名作者: Boons, Martijn; Ottonello, Giorgio; Valkanov, Rossen
• 署名单位: Tilburg University; Universidade Nova de Lisboa; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13261
• 发表日期: 2023
• 页码: 2901-2943
• 关键词: monetary-policy; economic-activity; business-cycle; term structure; sticky prices; cross-section; news shocks; STOCK; SPREAD; INFORMATION

摘要

The response of corporate bond credit spreads to three exogenous macro shocks-oil supply, investment-specific technology, and government spending-is large, significant, and a mirror image of macroeconomic activity. This countercyclicality is driven largely by credit risk premia and translates into significant return predictability. Equity risk premia exhibit similar responses, providing external validity. Information rigidities and leverage play a key role in the transmission of the shocks. Since causal evidence linking macro shocks to credit markets is scarce and recent work highlights the real effects of credit fluctuations, our findings contribute to understanding the joint dynamics of credit markets and the macroeconomy.