Leading indicator properties of US high-yield credit spreads


Autoria(s): Aslanidis, Nektarios; Cipollini, Andrea
Contribuinte(s)

Universitat Rovira i Virgili. Departament d'Economia

Data(s)

2009

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

http://hdl.handle.net/2072/15810

Idioma(s)

eng

Relação

Documents de treball del Departament d'Economia;2009-02

Direitos

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/)

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