Die Rolle von Bankkrediten für die volkswirtschaftliche Entwicklung - Internationale Evidenz
Zusammenfassung der Projektergebnisse
The evidence presented in this project underscores the significant role that loan spreads play in predicting aggregate economic developments. The novel loan-market-based credit spread introduced here captures the constraints of bank-dependent firms more accurately than traditional public credit market measures. Our findings suggest that private and smaller firms, which are typically more sensitive to credit conditions, are important to forecast economic fluctuations. The robust predictive power of loan spreads, validated through various robustness checks and across different macroeconomic variables, challenges the conventional reliance on public credit market spreads for economic forecasting. This shift in perspective has important implications for investors, policymakers, and researchers, emphasizing the need to pay closer attention to the loan market for early economic signals. Moreover, the distinction between borrower fundamentals and supply-side frictions, as reflected in the Excess Loan Premium, enhances our understanding of credit markets' dynamics. Our empirical tests - particularly the significant impact of events like the Lehman Brothers collapse and oil price shocks - point to the sensitivity of the loan market to intermediary health. This sensitivity, and the subsequent reaction of loan spreads, provide a more nuanced and immediate reflection of economic health than previously considered. These insights contribute to a more comprehensive framework for economic prediction and suggest potential avenues for mitigating risks associated with financial frictions.
Projektbezogene Publikationen (Auswahl)
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Corporate Loan Spreads and Economic Activity. The Review of Financial Studies, 38(2), 507-546.
Saunders, Anthony; Spina, Alessandro; Steffen, Sascha & Streitz, Daniel
