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The time-varying relationship between credit spreads and employment growth

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  • Yimin Xu
  • Jakob de Haan

Abstract

After the global financial crisis, several central banks introduced unconventional monetary policies, such as quantitative easing (QE). If QE increases asset prices, but does not boost the real economy to the same extent, the relationship between credit spreads and employment growth will weaken. This study investigates this issue for the U.S. in a moving-windows framework. Our results suggest that the link between credit spreads and employment growth is lower during bubbles and recessions. We also find that the relationship weakened after the Fed introduced QE.

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  • Yimin Xu & Jakob de Haan, 2018. "The time-varying relationship between credit spreads and employment growth," Applied Economics, Taylor & Francis Journals, vol. 50(41), pages 4387-4401, September.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:41:p:4387-4401
    DOI: 10.1080/00036846.2018.1450483
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    Cited by:

    1. Hamza Bennani & Matthias Neuenkirch, 2020. "The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model," CESifo Working Paper Series 8740, CESifo.
    2. Anna Samarina & Anh D.M. Nguyen, 2024. "Does Monetary Policy Affect Income Inequality in the Euro Area?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 35-80, February.
    3. Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2019. "Market reactions to ECB policy innovations: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 126-137.

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