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The information in the high-yield bond spread for the business cycle: evidence and some implications
Open accessAbstract
The market for high-yield (below-investment-grade) corporate bonds developed in the middle 1980s. We show that, since this time, the high-yield spread has had significant explanatory power for the business cycle. We interpret this finding as possibly symptomatic of financial factors at work in the business cycle, along the lines suggested by the financial accelerator. We also show that over this period the high-yield spread outperforms other leading financial indicators, including the term spread, the paper-bill spread, and the Federal Funds rate. We conjecture that changes in the conduct of monetary policy over time may account for the reduced informativeness of these alternative indicators, all of which are tied closely to monetary policy.
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Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Inside the black box: the credit channel of monetary policy transmission
Bernanke, B. S., & Gertler, M. (1995) · Journal of Economic Perspectives · doi:10.1257/jep.9.4.27 · Cited by 4,211
Self-citation
Cited by
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
Forecasting Output and Inflation: The Role of Asset Prices
Stock, J. H., & Watson, M. W. (2003) · Journal of Economic Literature · doi:10.1257/002205103322436197 · Cited by 1,076
Firms as liquidity providers: Evidence from the 2007–2008 financial crisis
Garcia-Appendini, E., & Montoriol-Garriga, J. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2013.02.010 · Cited by 499
Blanchard, O. J., & Riggi, M. (2013) · Journal of the European Economic Association · doi:10.1111/jeea.12029 · Cited by 363
Metadata
- Authors
- Gertler, M.
- Venue
- Oxford Review of Economic Policy
- Publisher
- Oxford University Press (OUP)
- Published
- 1999-09-01
- Volume
- 15
- Issue
- 3
- Pages
- 132-150
- ISSN
- 0266-903X (ISSN-L)
- 1460-2121
- OpenAlex
- W2025143968
- Cited by
- 318
- References
- 2
- FWCI
- 17.53
- Type
- journal article
- Language
- en
- Open access
- bronze
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