Explaining macroeconomics changes using credit spreads

In this paper the usefulness of credit spreads to explain changes in macro economic variables is tested. Several new credit spread indices are created, some of them taking maturity mismatching into account. These indices will be compared to the GZ index, created using the bottom-up approach as in Gilchrist,Zakrajsek (2012). The results of these new indices even exceed that of the GZ index, while requiring less information to be constructed. Lastly, the dierent indices will be combined to make a single model that outperforms all the previous ones.