【主讲】黄宇凡 助教授 (首都经贸大学)
【主题】Dynamic Responses of Real Output to Financial Spreads
【时间】2016年12月12日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】Financial spreads can signal future output growth as the real output reacts to changes in the financial spreads. Simple predictive regressions reveal that a term spread shock has long-lasting positive effect on output, while a credit spread shock pulls down output just briefly. However, the term spread would rise in response to a credit spread shock due to monetary policy reactions, and the predictive regression cannot disentangle these two effects. I thus specify an empirical model based upon which I conduct the counterfactual analysis. The results using US data are summarized as follows: (i) without the induced changes in the term spread, a credit spread shock can decrease output persistently and cause the trend output to decline; (ii) without the acute surge in the credit spread in 2008, US real GDP could be permanently raised by about 0.88%.
