Working Paper
What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach
Nozawa, Yoshio (2014-08-02)
I decompose the cross-sectional variation of the credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector autoregression applied to micro-level data from 1973 to 2011, I find that the expected credit loss component and the excess return component each explains about half of the variance of the credit spreads. Unlike the market-level findings in Gilchrist and Zakrajsek (2012), at the firm level, the expected credit loss is volatile and affects the firms' investment ...
Finance and Economics Discussion Series , Paper 2014-62

Discussion Paper
The Effects of FOMC Communications before Policy Tightening in 1994 and 2004
Meade, Ellen E.; Nozawa, Yoshio; Petrasek, Lubomir; Zickler, Joyce (2015-09-24)
The ways in which the Federal Open Market Committee (FOMC or "Committee") communicates its views on economic and financial conditions, the economic outlook, and its policy intentions have evolved over time.
FEDS Notes , Paper 2015-09-24