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Leading indicator properties of US high-yield credit spreads
Aslanidis, Nektarios; Cipollini, Andrea
Universitat Rovira i Virgili. Departament d'Economia
In this paper we examine the out-of-sample forecast performance of high-yield credit spreads regarding real-time and revised data on employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest the use of few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. This can be justified by observing that, especially for employment, there is a gain from using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks, such as an AR, and ARDL models that use either the term spread or the aggregate high-yield spread as exogenous regressor. Moreover, forecasts based on real-time data are generally comparable to forecasts based on revised data. JEL Classification: C22; C53; E32 Keywords: Credit spreads; Principal components; Forecasting; Real-time data.
338 - Situació econòmica. Política econòmica. Gestió, control i planificació de l'economia. Producció. Serveis. Turisme. Preus
Sèries temporals--Anàlisi
Previsió econòmica--Models economètrics
Cicles econòmics
Processament de dades en temps real
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Working Paper
ISSN 1988 - 0812
Documents de treball del Departament d'Economia;2009-02

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