Leading indicator properties of US high-yield credit spreads
Contribuinte(s) |
Universitat Rovira i Virgili. Departament d'Economia |
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Data(s) |
2009
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Resumo |
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. |
Formato |
30 474159 bytes application/pdf |
Identificador | |
Idioma(s) |
eng |
Relação |
Documents de treball del Departament d'Economia;2009-02 |
Direitos |
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Palavras-Chave | #Sèries temporals--Anàlisi #Previsió econòmica--Models economètrics #Cicles econòmics #Processament de dades en temps real #Crèdit #338 - Situació econòmica. Política econòmica. Gestió, control i planificació de l'economia. Producció. Serveis. Turisme. Preus |
Tipo |
info:eu-repo/semantics/workingPaper |