Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and their Systematic Components
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 sp...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2001
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 01/158 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (62 p) |
| ISBN: | 1451857586 9781451857580 |
Internformat
MARC
| LEADER | 00000nmm a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV048347855 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220713s2001 |||| o||u| ||||||eng d | ||
| 020 | |a 1451857586 |c 15.00 USD |9 1-451-85758-6 | ||
| 020 | |a 9781451857580 |c 15.00 USD |9 978-1-451-85758-0 | ||
| 035 | |a (ZDB-1-IMF)845876163 | ||
| 035 | |a (OCoLC)1337128582 | ||
| 035 | |a (DE-599)BVBBV048347855 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-20 |a DE-824 |a DE-70 |a DE-155 |a DE-29 |a DE-22 |a DE-473 |a DE-1102 |a DE-703 |a DE-859 |a DE-706 |a DE-384 |a DE-860 |a DE-19 |a DE-739 |a DE-355 |a DE-Aug4 |a DE-1049 |a DE-12 |a DE-91 | ||
| 100 | 1 | |a Ivaschenko, Iryna V. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Corporate Bond Risk and Real Activity |b An Empirical Analysis of Yield Spreads and their Systematic Components |c Ivaschenko, Iryna V |
| 264 | 1 | |a Washington, D.C |b International Monetary Fund |c 2001 | |
| 300 | |a 1 Online-Ressource (62 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a IMF Working Papers |v Working Paper No. 01/158 | |
| 520 | 3 | |a 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 | |
| 533 | |a Online-Ausg | ||
| 700 | 1 | |a Chan-Lau, Jorge A. |e Sonstige |4 oth | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-1-IMF | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033727123 | ||
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBW01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UEI01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l LCO01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l SBR01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UER01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l SBG01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBG01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l FAN01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBT01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l FKE01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBY01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBA01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l FLA01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBM01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UPA01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l UBR01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l FHA01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l FNU01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l BSB01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |l TUM01 |p ZDB-1-IMF |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804184199218855936 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Ivaschenko, Iryna V. |
| author_facet | Ivaschenko, Iryna V. |
| author_role | aut |
| author_sort | Ivaschenko, Iryna V. |
| author_variant | i v i iv ivi |
| building | Verbundindex |
| bvnumber | BV048347855 |
| collection | ZDB-1-IMF |
| ctrlnum | (ZDB-1-IMF)845876163 (OCoLC)1337128582 (DE-599)BVBBV048347855 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05262nmm a2200589 cb4500</leader><controlfield tag="001">BV048347855</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220713s2001 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1451857586</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">1-451-85758-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781451857580</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">978-1-451-85758-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-1-IMF)845876163</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1337128582</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048347855</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-20</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-155</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-22</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-860</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-91</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Ivaschenko, Iryna V.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Corporate Bond Risk and Real Activity</subfield><subfield code="b">An Empirical Analysis of Yield Spreads and their Systematic Components</subfield><subfield code="c">Ivaschenko, Iryna V</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Washington, D.C</subfield><subfield code="b">International Monetary Fund</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (62 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">IMF Working Papers</subfield><subfield code="v">Working Paper No. 01/158</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="a">Online-Ausg</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Chan-Lau, Jorge A.</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-IMF</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033727123</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBW01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UEI01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">LCO01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">SBR01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UER01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">SBG01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBG01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">FAN01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBT01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">FKE01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBY01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBA01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">FLA01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBM01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UPA01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">UBR01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">FHA01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">FNU01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml</subfield><subfield code="l">TUM01</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048347855 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:24Z |
| indexdate | 2024-07-10T09:35:32Z |
| institution | BVB |
| isbn | 1451857586 9781451857580 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033727123 |
| oclc_num | 1337128582 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| owner_facet | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (62 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Ivaschenko, Iryna V. Verfasser aut Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components Ivaschenko, Iryna V Washington, D.C International Monetary Fund 2001 1 Online-Ressource (62 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 01/158 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 Online-Ausg Chan-Lau, Jorge A. Sonstige oth http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ivaschenko, Iryna V. Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components |
| title | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components |
| title_auth | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components |
| title_exact_search | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components |
| title_exact_search_txtP | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components |
| title_full | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components Ivaschenko, Iryna V |
| title_fullStr | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components Ivaschenko, Iryna V |
| title_full_unstemmed | Corporate Bond Risk and Real Activity An Empirical Analysis of Yield Spreads and their Systematic Components Ivaschenko, Iryna V |
| title_short | Corporate Bond Risk and Real Activity |
| title_sort | corporate bond risk and real activity an empirical analysis of yield spreads and their systematic components |
| title_sub | An Empirical Analysis of Yield Spreads and their Systematic Components |
| url | http://elibrary.imf.org/view/IMF001/01379-9781451857580/01379-9781451857580/01379-9781451857580.xml |
| work_keys_str_mv | AT ivaschenkoirynav corporatebondriskandrealactivityanempiricalanalysisofyieldspreadsandtheirsystematiccomponents AT chanlaujorgea corporatebondriskandrealactivityanempiricalanalysisofyieldspreadsandtheirsystematiccomponents |