Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality
研究发现，石油供给、技术投资和政府支出等外部宏观冲击会显著影响公司债券信用利差，且这种反周期波动主要由信用风险溢价驱动，并带来可预测的回报。
ABSTRACT The response of corporate bond credit spreads to three exogenous macro shocks—oil supply, investment‐specific technology, and government spending—is large, significant, and a mirror image of macroeconomic activity. This countercyclicality is driven largely by credit risk premia and translates into significant return predictability. Equity risk premia exhibit similar responses, providing external validity. Information rigidities and leverage play a key role in the transmission of the shocks. Since causal evidence linking macro shocks to credit markets is scarce and recent work highlights the real effects of credit fluctuations, our findings contribute to understanding the joint dynamics of credit markets and the macroeconomy.