Authors: Nina Boyarchenko and Leonardo Elias
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Staff Reports
The Global Credit Cycle
Number 1094
March 2024 Revised May 2026
March 2024 Revised May 2026
JEL classification: F30, F44, G15, G12
We document a global credit cycle that generates predictable co-movement in corporate bond returns worldwide. Using a large panel of international corporate bonds, we construct a single factor as a nonlinear function of credit spreads, equity market volatility, and their interactions. The global credit factor explains up to 13 percent of in-sample and up to 8 percent of out-of-sample variation in bond-level three-month-ahead returns. Unlike broader measures of global financial conditions, the global credit factor simultaneously captures time-series return predictability and cross-sectional differences in risk exposures across ratings, currencies, and countries. Tighter global credit conditions are associated with deteriorations in local credit conditions and outflows from global bond funds. Taken together, our results are consistent with the factor proxying for a common, time-varying global price of credit risk.
Author Disclosure Statement(s)
Nina Boyarchenko
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Leonardo Elias
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Leonardo Elias
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Suggested Citation:
Boyarchenko, Nina and Leonardo Elias. 2024. “The Global Credit Cycle.” Federal Reserve Bank of New York Staff Reports, no. 1094, revised May 2026. https://doi.org/10.59576/sr.1094
Boyarchenko, Nina and Leonardo Elias. 2024. “The Global Credit Cycle.” Federal Reserve Bank of New York Staff Reports, no. 1094, revised May 2026. https://doi.org/10.59576/sr.1094
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