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Citations for "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets"

by Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek

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  1. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco Terrones, 2013. "Global House Price Fluctuations," IMF Working Papers 13/38, International Monetary Fund.
  2. Kirstin Hubrich & Robert J. Tetlow, 2012. "Financial stress and economic dynamics: the transmission of crises," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-82, Board of Governors of the Federal Reserve System (U.S.).
  3. Barnett, Alina & Thomas, Ryland, 2013. "Has weak lending and activity in the United Kingdom been driven by credit supply shocks?," Bank of England working papers 482, Bank of England.
  4. Michael D. Bordo & Joseph G. Haubrich, 2009. "Credit crises, money, and contractions: A historical view," Working Paper 0908, Federal Reserve Bank of Cleveland.
  5. Mark Gertler & Nobuhiro Kiyotaki, 2013. "Banking, Liquidity and Bank Runs in an Infinite Horizon Economy," 2013 Meeting Papers, Society for Economic Dynamics 59, Society for Economic Dynamics.
  6. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," CAMA Working Papers 2013-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. James H. Stock & Mark W. Watson, 2012. "Disentangling the Channels of the 2007-09 Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 44(1 (Spring), pages 81-156.
  8. Finlay, Richard & Jääskelä, Jarkko P., 2014. "Credit supply shocks and the global financial crisis in three small open economies," Journal of Macroeconomics, Elsevier, Elsevier, vol. 40(C), pages 270-276.
  9. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 13(1), pages 73-82, April.
  10. Fei Han & Selim Elekdag, 2012. "What Drives Credit Growth in Emerging Asia?," IMF Working Papers 12/43, International Monetary Fund.
  11. Miguel Ángel Morales Mosquera & Wilmar Cabrera & Laura Capera & Dairo Estrada, . "Un Mapa de Riesgo de Crédito para el Sistema Financiero Colombiano," Temas de Estabilidad Financiera, Banco de la Republica de Colombia 068, Banco de la Republica de Colombia.
  12. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  13. Gert Peersman, 2011. "Macroeconomic consequences of different types of credit market disturbances and non-conventional monetary policy in the euro area," 2011 Meeting Papers 333, Society for Economic Dynamics.
  14. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  15. Leonardo Gambacorta & Federico M. Signoretti, 2013. "Should monetary policy lean against the wind? An analysis based on a DSGE model with banking," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 921, Bank of Italy, Economic Research and International Relations Area.
  16. Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 62(C), pages 23-40.
  17. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-249, Institute of Economic Research, Hitotsubashi University.
  18. Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 38986, University Library of Munich, Germany, revised Mar 2012.
  19. repec:fip:fedreq:y:2011:i:3q:p:209-254:n:vol.97no.3 is not listed on IDEAS
  20. Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010. "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche, CIRPEE 1026, CIRPEE.
  21. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series, European Central Bank 1463, European Central Bank.
  22. Gert Peersman & Wolf Wagner, 2014. "Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations," CESifo Working Paper Series 4701, CESifo Group Munich.
  23. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," Ifo Working Paper Series Ifo Working Paper No. 167, Ifo Institute for Economic Research at the University of Munich.
  24. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2013. "Bond Spreads and Economic Activity in Eight European Economies," Discussion Papers 2013/09, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  25. Mimir, Yasin, 2010. "Financial intermediaries, leverage ratios, and business cycles," MPRA Paper 27643, University Library of Munich, Germany.
  26. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 47(06), pages 1155-1185, December.
  27. Christiano, Lawrence & Rostagno, Massimo & Motto, Roberto, 2010. "Financial factors in economic fluctuations," Working Paper Series, European Central Bank 1192, European Central Bank.
  28. Alan S. Blinder & Mark W. Watson, 2014. "Presidents and the U.S. Economy: An Econometric Exploration," NBER Working Papers 20324, National Bureau of Economic Research, Inc.
  29. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(4), pages 568-584.
  30. Houssa Romain & Jolan Mohimont & Chris Otrok, 2013. "Credit Shocks and Macroeconomic Fluctuations in Emerging Markets," CESifo Working Paper Series 4281, CESifo Group Munich.
  31. Eric R. Sims, 2012. "Uncertainty and Economic Activity: Evidence from Business Survey Data," Working Papers 014, University of Notre Dame, Department of Economics, revised Jun 2012.
  32. Paolo Guarda & Philippe Jeanfils, 2012. "Macro-financial linkages: Evidence from country-specific VARs," BCL working papers, Central Bank of Luxembourg 71, Central Bank of Luxembourg.
  33. Uluc Aysun, 2013. "Bank size and macroeconomic shock transmission: Are there economic volatility gains from shrinking large, too big to fail banks?," Working Papers, University of Central Florida, Department of Economics 2013-02, University of Central Florida, Department of Economics.
  34. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
  35. Keisuke Otsu & Masashi Saito, 2011. "Organizational Dynamics and Aggregate Fluctuations: The Role of Financial Relationships," Studies in Economics, Department of Economics, University of Kent 1102, Department of Economics, University of Kent.
  36. Fabian Fink & Yves S. Schüler, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Working Paper Series of the Department of Economics, University of Konstanz 2013-01, Department of Economics, University of Konstanz.
  37. Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2011. "Investment Shocks and the Relative Price of Investment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 101-121, January.
  38. Simon Gilchrist & Egon Zakrajšek, 2011. "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers 17021, National Bureau of Economic Research, Inc.
  39. Guillermo Ordoñez, 2012. "The Asymmetric Effects of Financial Frictions," NBER Working Papers 18360, National Bureau of Economic Research, Inc.
  40. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
  41. Bell, Venetia & Young, Garry, 2010. "Understanding the weakness of bank lending," Bank of England Quarterly Bulletin, Bank of England, vol. 50(4), pages 311-320.
  42. Tim Ng, 2011. "The predictive content of financial cycle measures for output fluctuations," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
  43. Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers, Society for Economic Dynamics 112, Society for Economic Dynamics.
  44. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 691-713.
  45. Yasin Mimir, 2013. "Financial Intermediaries, Credit Shocks and Business Cycles," Working Papers 1313, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  46. Zheng Liu & Pengfei Wang & Tao Zha, 2011. "Land-price dynamics and macroeconomic fluctuations," Working Paper, Federal Reserve Bank of Atlanta 2011-11, Federal Reserve Bank of Atlanta.
  47. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land Prices and Unemployment," NBER Working Papers 19382, National Bureau of Economic Research, Inc.
  48. Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
  49. Vincenzo Quadrini, 2011. "Financial frictions in macroeconomic fluctations," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue 3Q, pages 209-254.
  50. Fiorella De Fiore & Harald Uhlig, 2011. "Bank Finance versus Bond Finance," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 43(7), pages 1399-1421, October.
  51. Simon Gilchrist & Jae W. Sim & Egon Zakrajsek, 2012. "Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-08, Board of Governors of the Federal Reserve System (U.S.).
  52. Semmler, Willi & Bernard, Lucas, 2012. "Boom–bust cycles: Leveraging, complex securities, and asset prices," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 81(2), pages 442-465.
  53. Hännikäinen, Jari, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," MPRA Paper 56737, University Library of Munich, Germany.
  54. Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2013. "Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment," Cahiers de recherche, CIRPEE 1330, CIRPEE.
  55. Atanas Hristov, 2010. "The High Sensitivity of Employment to Agency Costs: The Relevance of Wage Rigidity," SFB 649 Discussion Papers SFB649DP2010-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  56. Buchmann, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series, European Central Bank 1286, European Central Bank.
  57. Alpanda, Sami & Aysun, Uluc, 2014. "International transmission of financial shocks in an estimated DSGE model," Journal of International Money and Finance, Elsevier, Elsevier, vol. 47(C), pages 21-55.
  58. Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic effects of credit shocks in a data-rich environment," Staff Reports, Federal Reserve Bank of New York 615, Federal Reserve Bank of New York.
  59. Paul Mizen & Serafeim Tsoukas, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," Working Papers, Business School - Economics, University of Glasgow 2012_08, Business School - Economics, University of Glasgow.
  60. Teresa C Fort & John Haltiwanger & Ron S Jarmin & Javier Miranda, 2013. "How Firms Respond to Business Cycles: The Role of Firm Age and Firm Size," IMF Economic Review, Palgrave Macmillan, Palgrave Macmillan, vol. 61(3), pages 520-559, August.
  61. Tobias Adrian & Paolo Colla & Hyun Song Shin, 2011. "Which financial frictions? Parsing the evidence from the financial crisis of 2007-09," Staff Reports, Federal Reserve Bank of New York 528, Federal Reserve Bank of New York.
  62. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(1), pages 17-34, January.
  63. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers, Federal Reserve Bank of Dallas 0906, Federal Reserve Bank of Dallas.
  64. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics 1196, Society for Economic Dynamics.
  65. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  66. Gallegati, Marco & Ramsey, James B. & Semmler, Willi, 2014. "Interest rate spreads and output: A time scale decomposition analysis using wavelets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 283-290.
  67. Christoph Görtz & John D. Tsoukalas, 2013. "Sector Specific News Shocks in Aggregate and Sectoral Fluctuations," CESifo Working Paper Series 4269, CESifo Group Munich.
  68. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Oil prices and the economy: A global perspective," CAMA Working Papers 2014-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  69. Lahura, Erick, 2011. "An Empirical Analysis of the Credit-Output Relationship: Evidence from Peru," Working Papers, Banco Central de Reserva del Perú 2011-018, Banco Central de Reserva del Perú.
  70. Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, Elsevier, vol. 24(C), pages 138-150.
  71. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers, Centre for Central Banking Studies, Bank of England 4, Centre for Central Banking Studies, Bank of England.
  72. Erdem Basci & Yusuf Soner Baskaya & Mustafa Kilinc, 2011. "Financial Shocks and Industrial Employment," Working Papers 1112, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  73. Zaghini, Andrea & Bencivelli, Lorenzo, 2012. "Financial innovation, macroeconomic volatility and the great moderation," MPRA Paper 41263, University Library of Munich, Germany.
  74. Milcheva, Stanimira, 2013. "A bank lending channel or a credit supply shock?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 37(C), pages 314-332.
  75. Scott Davis, 2010. "The adverse feedback loop and the effects of risk in both the real and financial sectors," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 66, Federal Reserve Bank of Dallas.
  76. Kevin x.d. Huang & J. scott Davis, 2013. "Credit Risks and Monetary Policy Trade-Offs," Vanderbilt University Department of Economics Working Papers 13-00004, Vanderbilt University Department of Economics.
  77. Alberto Ortiz Bolaños & Last: Ortiz Bolaños, 2012. "Credit Market Shocks, Monetary Policy, and Economic Fluctuations," Documentos de Investigación - Research Papers, Centro de Estudios Monetarios Latinoamericanos, CEMLA 6, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  78. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2013. "Leverage asset pricing," Staff Reports, Federal Reserve Bank of New York 625, Federal Reserve Bank of New York.
  79. Thomas Theobald, 2012. "Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis," IMK Working Paper 98-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  80. Tobias Adrian & Paolo Colla & Hyun Song Shin, 2012. "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 159-214 National Bureau of Economic Research, Inc.
  81. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1006-1026, October.
  82. Walentin, Karl, 2013. "Business Cycle Implications of Mortgage Spreads," Working Paper Series 275, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2014.
  83. Andrea Ajello, 2012. "Financial intermediation, investment dynamics and business cycle fluctuations," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-67, Board of Governors of the Federal Reserve System (U.S.).
  84. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers, Federal Reserve Bank of St. Louis 2013-005, Federal Reserve Bank of St. Louis.
  85. Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," IDB Publications 77379, Inter-American Development Bank.
  86. G. Peersman, 2011. "Bank Lending Shocks and the Euro Area Business Cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/766, Ghent University, Faculty of Economics and Business Administration.
  87. Schüler, Yves S. & Fink, Fabian, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79692, Verein für Socialpolitik / German Economic Association.
  88. Gertler, Mark & Kiyotaki, Nobuhiro & Queralto, Albert, 2012. "Financial crises, bank risk exposure and government financial policy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 59(S), pages S17-S34.
  89. Scott Davis & Kevin X.D. Huang, 2011. "Optimal monetary policy under financial sector risk," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 85, Federal Reserve Bank of Dallas.
  90. repec:pra:mprapa:38985 is not listed on IDEAS
  91. Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers, CIRANO 2012s-16, CIRANO.
  92. Gilchrist, S. & Mojon, B., 2014. "Credit Risk in the Euro area," Working papers, Banque de France 482, Banque de France.
  93. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8720, C.E.P.R. Discussion Papers.
  94. Michael Bleaney & Paul Mizen & Veronica Veleanu, . "Bond Spreads as Predictors of Economic Activity in Eight European Economies," Discussion Papers 12/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  95. James H. Stock & Mark W. Watson, 2012. "Disentangling the Channels of the 2007-2009 Recession," NBER Working Papers 18094, National Bureau of Economic Research, Inc.
  96. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2969-2990.
  97. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper 202, CPB Netherlands Bureau for Economic Policy Analysis.
  98. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2014. "Output Gap in Presence of Financial Frictions and Monetary Policy Trade-offs," IMF Working Papers 14/128, International Monetary Fund.
  99. Thomas Helbling & M. Ayhan Kose & Christopher Otrok & Raju Huidrom, 2010. "Do Credit Shocks Matter? A Global Perspective," IMF Working Papers 10/261, International Monetary Fund.
  100. Jørn Inge Halvorsen & Dag Henning Jacobsen, 2009. "Are bank lending shocks important for economic fluctuations?," Working Paper, Norges Bank 2009/27, Norges Bank.
  101. Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2009/35, University of Stavanger.
  102. Sohei Kaihatsu & Takushi Kurozumi, 2014. "Sources of Business Fluctuations: Financial or Technology Shocks?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(2), pages 224-242, April.
  103. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series, European Central Bank 1366, European Central Bank.
  104. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-328, KOF Swiss Economic Institute, ETH Zurich.
  105. Filippo di Mauro & Filippo di Mauro, Fabio Fornari, 2014. "Going granular: The importance of firm-level equity information in anticipating economic activity," EcoMod2014 6809, EcoMod.
  106. Nicoletti, Giulio & Passaro, Raffaele, 2012. "Sometimes it helps: the evolving predictive power of spreads on GDP dynamics," Working Paper Series, European Central Bank 1447, European Central Bank.