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The Global Credit Cycle

Author

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  • Boyarchenko, Nina
  • Elias, Leonardo

Abstract

We estimate the global price of credit risk from a large cross section of global corporate bond returns. We show that a single factor, constructed as a nonlinear function of past credit spreads, equity market volatility, and their interactions, prices bond returns in both the time series and the cross section. The factor significantly outperforms alternative measures of global financial conditions, explaining up to 13% of variation in bond-level three-month-ahead returns. A high global price of credit risk further translates into deteriorations in local credit conditions, outflows from global funds, and higher expected returns to global funds.

Suggested Citation

  • Boyarchenko, Nina & Elias, Leonardo, 2026. "The Global Credit Cycle," CEPR Discussion Papers 21268, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:21268
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    File URL: https://cepr.org/publications/DP21268
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    Keywords

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    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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