Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components »
Series: IMF Working Papers
Author(s): Iryna Ivaschenko , and Jorge Chan-Lau
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 2001
Keywords: Investment grade bonds, corporate spreads, business cycle, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, bonds, bond
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 futur...