Corporate Loan Spreads and Economic Activity
UNIVERSITY OF TECHNOLOGY SYDNEY
Research Seminars in Finance
Topic: Corporate Loan Spreads and Economic Activity
Speaker: Sascha Steffen, Frankfurt School of Finance & Management
Abstract: We study the predictive power of loan versus bond spreads for business cycle fluctuations. Using a novel credit spread measure derived from the secondary loan market, we show that loan market-based credit spreads have additional predictive power for macroeconomic outcomes (such as employment and industrial production) compared to bond spreads as well as other credit spreads and equity returns, both in the U.S. and Europe. Differences in the composition of firms borrowing in loan or bond markets are important in understanding the differential predictive power of both credit spreads. Industry specific loan spreads predict different industry cycles and can be used to construct alternative weighting schemes which further improve the predictive power of loan spreads.
Moderator: Diego Puente Moncayo, University of Technology Sydney
Date: Wednesday, 28th October 2020
Time: 5-6 pm (Australian Eastern Daylight Time)
Venue: This is on online Zoom webinar.
After registering, you will receive a confirmation email containing information on how to join the meeting, including an access link.
- The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
- There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
- Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.
Co-ordinator: Harry Scheule
Enquiries: Duncan Ford