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150128 ||| eng |
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|a 9781451857580
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|a Ivaschenko, Iryna
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| 245 |
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|a Corporate Bond Risk and Real Activity
|b An Empirical Analysis of Yield Spreads and Their Systematic Components
|c Iryna Ivaschenko, Jorge Chan-Lau
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2001
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| 300 |
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|a 62 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Interest rates
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| 653 |
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|a Finance
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| 653 |
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|a Securities
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| 653 |
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|a Financial institutions
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| 653 |
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|a Financial services
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| 653 |
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|a Production
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| 653 |
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|a Industries: General
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| 653 |
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|a General Financial Markets: General (includes Measurement and Data)
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| 653 |
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|a Investments: Bonds
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| 653 |
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|a Yield curve
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| 653 |
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|a Prices, Business Fluctuations, and Cycles: Forecasting and Simulation
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| 653 |
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|a Macroeconomics: Production
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| 653 |
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|a Cycles
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| 653 |
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|a Financial instruments
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| 653 |
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|a Bonds
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Investments: General
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| 653 |
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|a Financial Markets and the Macroeconomy
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| 653 |
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|a Corporate bonds
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| 653 |
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|a Business Fluctuations
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| 653 |
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|a Interest Rates: Determination, Term Structure, and Effects
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| 653 |
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|a Industrial production
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| 653 |
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|a Investment & securities
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| 653 |
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|a Industries
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| 700 |
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|a Chan-Lau, Jorge
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| 041 |
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|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781451857580.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2001/158/001.2001.issue-158-en.xml?cid=15386-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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| 520 |
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|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
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