Credit Spreads and Business Cycle Fluctuations
利用微观数据构建信用利差指数，发现其能预测未来经济活动；分解出超额债券溢价，其冲击会降低经济活动和资产价格，反映金融部门风险承担能力下降。
Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and asset prices. An increase in the excess bond premium appears to reflect a reduction in the risk-bearing capacity of the financial sector, which induces a contraction in the supply of credit and a deterioration in macroeconomic conditions.