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Working Paper
Monetary policy, business cycles and the behavior of small manufacturing firms
Gertler, Mark; Gilchrist, Simon (1993)
Finance and Economics Discussion Series , Paper 93-4

Conference Paper
The importance of credit for macroeconomic activity: identification through heterogeneity
Gilchrist, Simon; Zakrajšek, Egon (1995)
Conference Series ; [Proceedings] , Volume 39 , Pages 129-173

Working Paper
Uncertainty, Financial Frictions, and Investment Dynamics
Gilchrist, Simon; Zakrajšek, Egon; Sim, Jae W. (2014-04-01)
Micro- and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have a large effect on investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question regarding the economic significance of the traditional "wait-and-see" effect of uncertainty shocks and point to financial distortions as the main mechanism through which fluctuations in uncertainty affect macroeconomic outcomes. The ...
Finance and Economics Discussion Series , Paper 2014-69

Working Paper
The role of credit market imperfections in the monetary transmission mechanism: arguments and evidence
Gertler, Mark; Gilchrist, Simon (1993)
Finance and Economics Discussion Series , Paper 93-5

Working Paper
The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon (2013)
Estimating the effect of Federal Reserve's announcements of Large-Scale Asset Purchase (LSAP) programs on corporate credit risk is complicated by the simultaneity of policy decisions and movements in prices of risky financial assets, as well as by the fact that both interest rates of assets targeted by the programs and indicators of credit risk reacted to other common shocks during the recent financial crisis. This paper employs a heteroskedasticity-based approach to estimate the structural coefficient measuring the sensitivity of market-based indicators of corporate credit risk to declines ...
Finance and Economics Discussion Series , Paper 2013-56

Working Paper
The Macroeconomic Impact of Financial and Uncertainty Shocks
Caldara, Dario; Zakrajšek, Egon; Gilchrist, Simon; Fuentes-Albero, Cristina (2016-05)
The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to ...
International Finance Discussion Papers , Paper 1166

Working Paper
The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF
Wei, Bin; Zakrajšek, Egon; Gilchrist, Simon; Yue, Vivian Z. (2020-09-15)
We evaluate the efficacy of the Secondary Market Corporate Credit Facility (SMCCF), a program designed to stabilize the corporate bond market in the wake of the COVID-19 shock. The Fed announced the SMCCF on March 23 and expanded the program on April 9. Regression discontinuity estimates imply that these announcements reduced credit spreads on bonds eligible for purchase 70 basis points (bp). We refine this analysis by constructing a sample of bonds—issued by the same set of companies—that differ in their SMCCF eligibility. A diff-in-diff analysis shows that both announcements had large ...
FRB Atlanta Working Paper , Paper 2020-18

Conference Paper
Has the development of the structured credit market affected the cost of corporate debt? - comments
Gilchrist, Simon (2006-11)
Proceedings , Issue Nov

Working Paper
Inflation dynamics during the financial crisis
Zakrajšek, Egon; Schoenle, Raphael; Gilchrist, Simon; Sim, Jae W. (2015-11-01)
Firms with limited internal liquidity significantly increased prices in 2008, while their liquidity unconstrained counterparts slashed prices. Differences in the firms' price-setting behavior were concentrated in sectors likely characterized by customer markets. The authors develop a model in which firms face financial frictions while setting prices in a customer-markets setting. Financial distortions create an incentive for firms to raise prices in response to adverse demand or financial shocks. These results reflect the firms' reaction to preserve internal liquidity and avoid accessing ...
FRB Atlanta CQER Working Paper , Paper 2015-4

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