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|z 9781451857580
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|a 1018-5941
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|a Ivaschenko, Iryna.
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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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|a Washington, D.C. :
|b International Monetary Fund,
|c 2001.
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|a 1 online resource (62 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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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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|a Mode of access: Internet
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|a Chan-Lau, Jorge.
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|a IMF Working Papers; Working Paper ;
|v No. 2001/158
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2001/158/001.2001.issue-158-en.xml
|z IMF e-Library
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