Advanced search
Publication Cover
Applied Economics Letters Volume 28, 2021 - Issue 1
Submit an article Journal homepage
1,531
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Credit spread and employment growth – a time-varying relationship?

Martin NordströmSchool of Business, Örebro University, Örebro, SwedenCorrespondence[email protected]
Pages 23-31 | Published online: 11 Feb 2020

References

  • Aastveit, K. A., G. J. Natvik, and S. Sola. 2017. “Economic Uncertainty and the Influence of Monetary Policy.” Journal of International Money and Finance 76: 50–67. doi:10.1016/j.jimonfin.2017.05.003.
  • Bloom, N. 2009. “The Impact of Uncertainty Shocks.” Econometrica 77 (3): 623–685.
  • Caldara, D., C. Fuentes-Albero, S. Gilchrist, and E. Zakrajšek. 2016. “The Macroeconomic Impact of Financial and Uncertainty Shocks.” European Economic Review 88: 185–207. doi:10.1016/j.euroecorev.2016.02.020.
  • Chan, J. C., and E. Eisenstat. 2018. “Bayesian Model Comparison for Time‐varying Parameter VARs with Stochastic Volatility.” Journal of Applied Econometrics 33 (4): 509–532. doi:10.1002/jae.2617.
  • Chodorow-Reich, G. 2013. “The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis.” The Quarterly Journal of Economics 129 (1): 1–59. doi:10.1093/qje/qjt031.
  • Christiano, L. J., R. Motto, and M. Rostagno. 2014. “Risk Shocks.” American Economic Review 104 (1): 27–65. doi:10.1257/aer.104.1.27.
  • Cogley, T., and T. J. Sargent. 2001. “Evolving Post-world War II US Inflation Dynamics.” NBER Macroeconomics Annual 16: 331–373. doi:10.1086/654451.
  • Cogley, T., and T. J. Sargent. 2005. “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US.” Review of Economic Dynamics 8 (2): 262–302. doi:10.1016/j.red.2004.10.009.
  • Faust, J., S. Gilchrist, J. H. Wright, and E. Zakrajšsek. 2013. “Credit Spreads as Predictors of Real-time Economic Activity: A Bayesian Model-averaging Approach.” Review of Economics and Statistics 95 (5): 1501–1519. doi:10.1162/REST_a_00376.
  • Gilchrist, S., and E. Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” American Economic Review 102 (4): 1692–1720. doi:10.1257/aer.102.4.1692.
  • Karlsson, S., and P. Österholm. 2020. “The Relation between the Corporate Bond-yield Spread and the Real Economy: Stable or Time-varying?” Economics Letters 186: 108883.
  • Korobilis, D. 2013. “Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models.” Oxford Bulletin of Economics and Statistics 75 (2): 157–179. doi:10.1111/obes.2013.75.issue-2.
  • Nakajima, J. 2011. “Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications.” Monetary and Economic Studies 29: 107–142.
  • Primiceri, G. E. 2005. “Time Varying Structural Vector Autoregressions and Monetary Policy.” Review of Economic Studies 72 (3): 821–852. doi:10.1111/j.1467-937X.2005.00353.x.
  • Sims, C. A., and T. Zha. 2006. “Were There Regime Switches in US Monetary Policy?” American Economic Review 96 (1): 54–81. doi:10.1257/000282806776157678.
  • Stock, J. H. 2001. “Comment on Sargent and Cogley’s ‘Evolving US Postwar Inflation Dynamics’.” NBER Macroeconomics Annual 16: 379–387. doi:10.1086/654453.
  • Stock, J. H., and M. W. Watson. 2012. “Disentangling the Channels of the 2007–09 Recession.” Brookings Papers on Economic Activity 2012 (1): 81–135. doi:10.1353/eca.2012.0005.
  • Xu, Y., and J. de Haan. 2018. “The Time-varying Relationship between Credit Spreads and Employment Growth.” Applied Economics 50 (41): 4387–4401. doi:10.1080/00036846.2018.1450483.
Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.