Research

Published Research

1. Corporate Loan Spreads and Economic Activity with Anthony Saunders, Sascha Steffen, Daniel Streitz, Review of Financial Studies, [Published version] [SSRN]

Abstract: We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loanmarket prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. The paper also explores the underlying mechanisms, differentiating between borrower fundamentals and financial frictions, with evidence suggesting that supply-side frictions are a decisive factor in loan spreads’ forecasting ability.

Work In Progress

1. Public Perceptions of Monetary Policy

2. Does Option Hedging Bias Event Studies?