Online Resource
[S.l.] : SSRN
Format:
1 Online-Ressource (55 p)
Content:
I backcast expectation errors of credit spreads via machine learning. I use newspapers over the past century to construct text-based expectations of credit spreads and study the relationship between expectation errors and business cycles. The main result is that overoptimism about future credit spreads predicts lower GDP growth and higher unemployment over the medium run, even after controlling for past and prevailing credit spreads. This finding suggests credit-market sentiment is an important driver of economic fluctuations. Consistent with this story, I also find both the amount of net debt issuance and the ratio of debt to equity issuance increase following periods of overoptimism
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 25, 2019 erstellt
Language:
English
DOI:
10.2139/ssrn.3410410
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