Amir-Ahmadi, Pooyan, Evolving Credit and the U.S. Macroeconomy: 1920-2011 (May 17, 2015). Available for download at SSRN: http://ssrn.com/abstract=2607191

“This paper studies evolving macroeconomic consequences of adverse credit spread shocks for the US economy over the past century. The key objective is to characterize and quantify how the credit transmission mechanism has changed in shaping the macroeconomy during major macroeconomic episodes. I find substantial changes that evolve gradually. During the Great Depression effects on prices and output were sudden, deep and fast reverting. Over time effects became less sudden and increasingly persistent leading to longer term adverse consequences. Throughout the last century credit spread shocks remained potentially the most important drivers of business cycle fluctuations.”