Title:
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Leading indicator properties of US high-yield credit spreads
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Author:
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Aslanidis, Nektarios; Cipollini, Andrea
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia |
Resum:
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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. |
Publication date:
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2009 |
Subject (UDC):
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338 - Situació econòmica. Política econòmica. Gestió, control i planificació de l'economia. Producció. Serveis. Turisme. Preus |
Subject(s):
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Sèries temporals--Anàlisi Previsió econòmica--Models economètrics Cicles econòmics Processament de dades en temps real Crèdit |
Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
Document type:
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Working Paper |
ISSN:
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ISSN 1988 - 0812
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Collection:
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Documents de treball del Departament d'Economia;2009-02
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