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From Macroeconomic Shocks to Credit Spreads
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/jae.2322openalex-extracted
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
inferredcites →https://doi.org/10.1016/0304-405x(86)90070-xopenalex-extracted
Predicting returns in the stock and bond markets
inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-extracted
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/bs.hesmac.2016.03.003openalex-extracted
Macroeconomic Shocks and Their Propagation
inferredcites →https://doi.org/10.1016/bs.hesmac.2016.04.002openalex-extracted
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
inferredcites →https://doi.org/10.1016/j.jfineco.2011.01.011openalex-extracted
Corporate bond default risk: A 150-year perspective
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.032openalex-extracted
News implied volatility and disaster concerns
inferredcites →https://doi.org/10.1016/j.jfineco.2017.08.002openalex-extracted
Intermediary asset pricing: New evidence from many asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.004openalex-extracted
Mutual Fund Flows and Fluctuations in Credit and Business Cycles
inferredcites →https://doi.org/10.1016/j.jmoneco.2007.06.029openalex-extracted
The U.S. Treasury yield curve: 1961 to the present
inferredcites →https://doi.org/10.1016/j.jmoneco.2009.03.017openalex-extracted
Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.05.006openalex-extracted
The cross-section and time series of stock and bond returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2018.08.004openalex-extracted
Oil price elasticities and oil price fluctuations
inferredcites →https://doi.org/10.1016/s0304-3932(03)00029-1openalex-extracted
Implications of rational inattention
inferredcites →https://doi.org/10.1016/s0304-3932(03)00032-1openalex-extracted
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
inferredcites →https://doi.org/10.1016/s1574-0048(99)10034-xopenalex-extracted
Chapter 21 The financial accelerator in a quantitative business cycle framework
inferredcites →https://doi.org/10.1080/07350015.2019.1610661openalex-extracted
Forecast Error Variance Decompositions with Local Projections
inferredcites →https://doi.org/10.1086/261140openalex-extracted
Oil and the Macroeconomy since World War II
inferredcites →https://doi.org/10.1086/665662openalex-extracted
What Can Survey Forecasts Tell Us about Information Rigidities?
inferredcites →https://doi.org/10.1086/696277openalex-extracted
Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data
inferredcites →https://doi.org/10.1086/720141openalex-extracted
Instrumental Variable Identification of Dynamic Variance Decompositions
inferredcites →https://doi.org/10.1093/qje/qjq008openalex-extracted
Identifying Government Spending Shocks: It's all in the Timing*
inferredcites →https://doi.org/10.1093/qje/qjx014openalex-extracted
Credit-Market Sentiment and the Business Cycle*
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-extracted
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-extracted
Forecasting Default with the Merton Distance to Default Model
inferredcites →https://doi.org/10.1093/rfs/hhn078openalex-extracted
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
inferredcites →https://doi.org/10.1093/rfs/hht016openalex-extracted
Issuer Quality and Corporate Bond Returns
inferredcites →https://doi.org/10.1093/rfs/hhy085openalex-extracted
Cyclical Dispersion in Expected Defaults
inferredcites →https://doi.org/10.1111/0022-1082.00402openalex-extracted
The Determinants of Credit Spread Changes
inferredcites →https://doi.org/10.1111/1540-6261.00421openalex-extracted
What Drives Firm‐Level Stock Returns?
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-extracted
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jmcb.12250openalex-extracted
Investment‐Specific News Shocks and U.S. Business Cycles
inferredcites →https://doi.org/10.1111/jofi.12131openalex-extracted
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
inferredcites →https://doi.org/10.1111/jofi.12136openalex-extracted
Growth Opportunities, Technology Shocks, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.12189openalex-extracted
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12199openalex-extracted
Reaching for Yield in the Bond Market
inferredcites →https://doi.org/10.1111/jofi.12524openalex-extracted
What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach
inferredcites →https://doi.org/10.1111/jofi.12586openalex-extracted
Diagnostic Expectations and Credit Cycles
inferredcites →https://doi.org/10.1111/jofi.12694openalex-extracted
Capital Commitment and Illiquidity in Corporate Bonds
inferredcites →https://doi.org/10.1111/jofi.12971openalex-extracted
Learning From Disagreement in the U.S. Treasury Bond Market
inferredcites →https://doi.org/10.1111/jofi.12987openalex-extracted
Equilibrium Asset Pricing with Leverage and Default
inferredcites →https://doi.org/10.1111/jofi.12991openalex-extracted
Liquidity Supply in the Corporate Bond Market
inferredcites →https://doi.org/10.1111/jofi.13086openalex-extracted
Do Intermediaries Matter for Aggregate Asset Prices?
inferredcites →https://doi.org/10.1162/rest_a_00706openalex-extracted
Why You Should Never Use the Hodrick-Prescott Filter
inferredcites →https://doi.org/10.1162/rest_a_00896openalex-extracted
Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks
inferredcites →https://doi.org/10.1257/0002828053828518openalex-extracted
Estimation and Inference of Impulse Responses by Local Projections
inferredcites →https://doi.org/10.1257/aer.102.4.1692openalex-extracted
Credit Spreads and Business Cycle Fluctuations
inferredcites →https://doi.org/10.1257/aer.103.6.2612openalex-extracted
News Shocks and the Slope of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1257/aer.104.2.379openalex-extracted
A Macroeconomic Model with a Financial Sector
inferredcites →https://doi.org/10.1257/aer.20110306openalex-extracted
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
inferredcites →https://doi.org/10.1257/aer.20151569openalex-extracted
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
inferredcites →https://doi.org/10.1257/aer.20181219openalex-extracted
Overreaction in Macroeconomic Expectations
inferredcites →https://doi.org/10.1257/aer.20201220openalex-extracted
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/aer.99.3.769openalex-extracted
Optimal Sticky Prices under Rational Inattention
inferredcites →https://doi.org/10.1257/jep.9.4.27openalex-extracted
Inside the Black Box: The Credit Channel of Monetary Policy Transmission
inferredcites →https://doi.org/10.2139/ssrn.268692openalex-extracted
Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.22004/ag.econ.292693openalex-extracted
Agency Costs, Net Worth, And Business Fluctuations
inferredcites →https://doi.org/10.3386/w26655openalex-extracted
Effects of Fiscal Policy on Credit Markets
inferredcites →https://doi.org/10.3386/w3486openalex-extracted
On the Predictive Power of Interest Rates and Interest Rate Spreads
inferredcites →https://doi.org/10.3386/w4015openalex-extracted
Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/707766openalex-snapshot
Macroeconomic Drivers of Bond and Equity Risks
inferredcites →https://doi.org/10.1093/rfs/hht026openalex-snapshot
Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
inferredcites →https://doi.org/10.1111/0022-1082.00324openalex-snapshot
Explaining the Rate Spread on Corporate Bonds
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00797.xopenalex-snapshot
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
inferredcites →https://doi.org/10.1257/aer.102.2.1029openalex-snapshot
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008
inferredcites →https://doi.org/10.1257/aer.20180733openalex-snapshot
Feedbacks: Financial Markets and Economic Activity
inferredcites →https://doi.org/10.1257/aer.99.3.1053openalex-snapshot
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
inferredcites →https://doi.org/10.2307/2328190openalex-snapshot
Stock Prices, Earnings, and Expected Dividends
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inferred← citeshttps://doi.org/10.36687/inetwp183openalex-snapshot
Government Deficits and Interest Rates: A Keynesian View
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