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Working Paper
The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF
Wei, Bin; Gilchrist, Simon; Yue, Vivian Z.; Zakrajšek, Egon (2024-03-01)
This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across the maturity spectrum—irrespective of the program’s maturity-eligibility criterion—and ultimately restored the normal upward-sloping term structure of credit spreads. The Federal Reserve’s actual purchases reduced credit spreads of eligible bonds 3 basis points more than those of ineligible ...
Working Papers , Paper 24-2

Working Paper
The financial accelerator and the flight to quality
Gilchrist, Simon; Gertler, Mark; Bernanke, Ben S. (1994)
Finance and Economics Discussion Series , Paper 94-18

Discussion Paper
Recession Risk and the Excess Bond Premium
Favara, Giovanni; Gilchrist, Simon; Lewis, Kurt F.; Zakrajšek, Egon (2016-04-08)
In this FEDS Note, we evaluate the information content for recession risk of a component of credit spreads that is not directly attributable to expected default risk and thus to news about future cash flows.
FEDS Notes , Paper 2016-04-08

Working Paper
Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan
Gilchrist, Simon; Williams, John C. (2001)
We consider a neoclassical interpretation of Germany and Japan's rapid postwar growth that relies on a catch-up mechanism through capital accumulation where technology is embodied in new capital goods. Using a putty-clay model of production and investment, we are able to capture many of the key empirical properties of Germany and Japan's postwar transitions, including persistently high but declining rates of labor and total-factor productivity growth, a U-shaped response of the capital-output ratio, rising rates of investment and employment, and moderate rates of return to capital.
Finance and Economics Discussion Series , Paper 2001-07

Working Paper
Investment, capacity, and uncertainty: a putty-clay approach
Gilchrist, Simon; Williams, John C. (2002)
In this paper, we embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. We show that the combination of log-normally distributed idiosyncratic productivity uncertainty and Leontief utilization choice yields an aggregate production function that is easily characterized in terms of hazard rates for the standard normal distribution. At low levels of idiosyncratic uncertainty, the short-run elasticity of supply is substantially lower than the elasticity of supply ...
Working Paper Series , Paper 2002-03

Journal Article
Houses as collateral: has the link between house prices and consumption in the U.K. changed? commentary
Gilchrist, Simon (2002-05)
Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Economic Policy Review , Volume 8 , Issue May , Pages 179-182

Working Paper
Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs
Gilchrist, Simon; Zakrajšek, Egon; Sim, Jae W. (2012)
Financial market frictions distort the allocation of resources among productive units?all else equal, firms whose financing choices are affected by financial frictions face higher borrowing costs than firms with ready access to capital markets. As a result, input choices may differ systematically across firms in ways that are unrelated to their productive efficiency. We propose a simple accounting framework that allows us to assess the empirical magnitude of the loss in aggregate resources due to such misallocation. To a second-order approximation, our accounting framework requires only ...
Finance and Economics Discussion Series , Paper 2012-08

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

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