Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality

The response of corporate bond credit spreads to exogenous macro shocks is large. Giorgio Ottonello suggests this countercyclicality is driven largely by credit risk premia and translates into significant return predictability.

Image courtesy of interviewee

Read the Study
Log-in or Sign-up to Faculti
Currently viewing this subject insight as a guest. You have insight(s) remaining for this month.

Leave a Reply

Your email address will not be published.

Copyright © Faculti Media Limited 2013 - 2024. All rights reserved.
error: