Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults

DOI10.1016/J.JEDC.2011.11.010zbMath1242.91144OpenAlexW1997056162MaRDI QIDQ433370

Roland Meeks

Publication date: 13 July 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.11.010

zbMATH Keywords

Bayesian vector autoregressioncorporate bond spreadsdefault ratessign restrictions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Related Items (1)

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Cites Work

• Optimal contracts in a dynamic costly state verification model
• The external finance premium and the macroeconomy: US post-WWII evidence

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