Authors: Nina Boyarchenko and Leonardo Elias
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Staff Reports
The Global Credit Cycle
Number 1094
March 2024 Revised February 2026
March 2024 Revised February 2026
JEL classification: F30, F44, G15, G12
Using a large cross-section of corporate bond returns around the world, we construct a novel global credit factor that prices international corporate bonds in both the time-series and the cross-section. We estimate the global credit factor as a function of both U.S. credit spreads and the VIX, and show that incorporating information from nonlinearities and from interactions between the two predictors is important for the forecasting performance of the global credit factor. In the cross-section, riskier bonds and bonds of issuers in riskier countries have a higher loading on the global credit factor. Large tightenings in the global price of risk correspond to deteriorations in local credit conditions, with persistent increases in both credit spreads and firm default probabilities. Finally, we explore transmission mechanisms and show that flows into bond mutual funds likewise load negatively on the global price of risk, with high yield mutual funds the most affected.
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 February 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 February 2026. https://doi.org/10.59576/sr.1094
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