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...
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2001.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2001/158 |
| Accès en ligne: | Full text available on IMF |