Recession Risk and the Excess Bond Premium
Giovanni Favara,
Simon Gilchrist,
Kurt Lewis (kurt.f.lewis@frb.gov) and
Egon Zakrajšek (egon.zakrajsek@bos.frb.org)
No 2016-04-08, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)
Abstract:
In this FEDS Note, we evaluate the information content for recession risk of a component of credit spreads that is not directly attributable to expected default risk and thus to news about future cash flows.
Date: 2016-04-08
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2016-04-08
DOI: 10.17016/2380-7172.1739
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