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Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components false
By:Jorge A. Chan-Lau,Iryna V. Ivaschenko
Published on 2001-10-01 by International Monetary Fund


This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture |industrial production business cycle| well.

This Book was ranked at 19 by Google Books for keyword Bonds.

Book ID of Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components's Books is 3e7MstgwhmIC, Book which was written byJorge A. Chan-Lau,Iryna V. Ivaschenkohave ETAG "qHavuOAyWtE"

Book which was published by International Monetary Fund since 2001-10-01 have ISBNs, ISBN 13 Code is and ISBN 10 Code is

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