Credit spread variability in U.S. business cycles: the Great Moderation versus the Great Recession

Preprint OPEN
Hylton Hollander; Guangling Liu;
  • Subject: financial intermediation, credit spreads, financial frictions, great recession
    • jel: jel:E32 | jel:E43 | jel:E52 | jel:E51 | jel:E44

This paper establishes the prevailing financial factors that influence credit spread variability, and its impact on the U.S. business cycle over the Great Moderation and Great Recession periods. To do so, we develop a dynamic general equilibrium framework with a central... View more
  • References (35)
    35 references, page 1 of 4

    Adrian, T., Shin, H. S., 2011. Financial intermediaries and monetary economics. Amsterdam: Elsievier, Ch. 12 in Handbook of Monetary Economics, vol. 3.

    Bernanke, B., Gertler, M., 1995. Inside the black box: the credit channel of monetary policy transmission. Journal of Economic Perspectives 9 (4), 27{48.

    Bernanke, B., Gertler, M., Gilchrist, S., 1999. The ¯nancial accelerator in a quantitative business cycle framework. In: Taylor, J. B., Woodford, M. (Eds.), Handbook of Macroeconomics. Vol. 1c. North-Holland, Amsterdam, pp. 1341{1393.

    Brunnermeier, M. K., 2009. Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives 23 (1), 77{100.

    Calvo, G., 1983. Staggered prices in a utility-maximizing framework. Journal of Monetary Economy 12 (3), 383{398.

    Castelnuovo, E., Nisticµo, S., 2010. Stock market conditions and monetary policy in a DSGE model for the US. Journal of Economic Dynamics and Control 34 (9), 1700{1731.

    Christiano, L., Motto, R., Rostango, M., 2010. Financial factors in business cycles. Working Paper Series No. 1192. European Central Bank.

    Christiano, L. J., Eichenbaum, M., Evans, C. L., 2005. Nominal rigidities and the dynamic e®ects of a shock to monetary policy. Journal of Political Economy 113 (1), 1{45.

    Cu¶rdia, V., Woodford, M., 2009. Credit frictions and optimal monetary policy. BIS Working Papers No. 278.

    Cu¶rdia, V., Woodford, M., 2010. Credit spreads and monetary policy. Journal of Money, Credit, and Banking 42 (6).

  • Related Organizations (2)
  • Metrics
Share - Bookmark