Corporate Loan Spreads and Economic Activity
研究了企业贷款利差对商业周期的预测能力，发现基于二级市场价格的贷款利差优于其他信贷利差指标，且供给方摩擦是关键因素。
Abstract We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fundamentals and financial frictions. Evidence suggests that supply-side frictions are a decisive factor in the forecasting ability of loan spreads.