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Sticky credit spreads, macroeconomic activity and equity market volatility
Li, Yan; Steeley, James M. - In: Consumer issues in global economics, finance and business, (pp. 179-210). 2011
Persistent link: https://www.econbiz.de/10009427419
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Credit spread variability in the U.S. business cycle : the Great Moderation versus the Great Recession
Hollander, Hylton; Liu, Guangling - In: Journal of banking & finance 67 (2016), pp. 37-52
Persistent link: https://www.econbiz.de/10011634640
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Persistent crises and levered asset prices
Kuehn, Lars-Alexander; Schreindorfer, David; Schulz, Florian - In: The review of financial studies 36 (2023) 6, pp. 2571-2616
Persistent link: https://www.econbiz.de/10014320692
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - 2014
Persistent link: https://www.econbiz.de/10010440778
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897
Persistent link: https://www.econbiz.de/10011925272
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Sector spillovers in credit markets
Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278
Persistent link: https://www.econbiz.de/10011966651
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The cost of private debt over the credit cycle
Francis, Johanna L.; Aykut, Dilek; Tereanu, Eugen - In: Journal of international money and finance 41 (2014), pp. 146-181
Persistent link: https://www.econbiz.de/10010338704
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Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584
Persistent link: https://www.econbiz.de/10009554335
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Neuenkirch, Matthias - 2020
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10012383710
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10012320523