American Economic Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity
American Economic Journal: Macroeconomics
vol. 16,
no. 3, July 2024
(pp. 417–46)
Abstract
Firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage in response to a monetary policy tightening. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default risk. A stylized heterogeneous firm model with default risk, financially constrained intermediaries, and segmented financial markets is able to account for these facts. Our findings imply that financial intermediaries play an important role in shaping the transmission of monetary policy to firm-level outcomes.Citation
Anderson, Gareth, and Ambrogio Cesa-Bianchi. 2024. "Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity." American Economic Journal: Macroeconomics, 16 (3): 417–46. DOI: 10.1257/mac.20210455Additional Materials
JEL Classification
- D22 Firm Behavior: Empirical Analysis
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E52 Monetary Policy
- G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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