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 loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fundamentals and financial frictions. Evidence suggests that supply-side frictions are a decisive factor in the forecasting ability of loan spreads. (JEL E23, E44, G20)

中文翻译：

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公司贷款利差和经济活动


我们研究了贷款利差对预测商业周期的预测能力，特别关注更受限制、更依赖中介的公司。我们引入了一种基于贷款市场的新型信用利差，该利差使用 1999 年至 2023 年期间的二级公司贷款市场价格构建而成。贷款利差显著增强了对宏观经济结果的预测，优于其他信用利差指标。我们还探讨了潜在机制并区分了借款人基本面和财务摩擦。有证据表明，供给侧摩擦是预测贷款利差能力的决定性因素。（JEL E23、E44、G20）