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Chan-Lau, Jorge A.

The Corporate Spread Curve and Industrial Production in the United States Jorge A Chan-Lau. [electronic resource] / Jorge A Chan-Lau. - Washington, D.C. : International Monetary Fund, 2002. - 1 online resource (44 p.) - IMF Working Papers; Working Paper ; No. 02/8 . - IMF Working Papers; Working Paper ; No. 02/8 .

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in interest rates, commercial paper-treasury bill spreads, and lagged values of industrial production. In fact, the corporate spread curve can explain the cumulative growth rate of industrial production over 3- to 48-month horizons, and the marginal growth rate over 6- to 18-month horizons. Unlike other financial variables, the corporate spread curve has been a stable predictor of real activity for the last fifteen years.

ISBN: 145184252X : 15.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781451842524.001 doi

Subjects--Topical Terms:
Bond
Bonds
Business Fluctuations
Corporate Bond
Corporate Spreads
Financial Markets and the Macroeconomy

Subjects--Geographic Terms:
United States