The Corporate Spread Curve and Industrial Production in the United States [electronic resource] / Jorge A Chan-Lau.
Material type:
TextSeries: IMF Working Papers; Working Paper ; No. 02/8Publication details: Washington, D.C. : International Monetary Fund, 2002Description: 1 online resource (44 p.)ISBN: 145184252X :ISSN: 1018-5941Subject(s): Bond | Bonds | Business Fluctuations | Corporate Bond | Corporate Spreads | Financial Markets and the Macroeconomy | United StatesAdditional physical formats: Print Version:: The Corporate Spread Curve and Industrial Production in the United StatesOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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.
Description based on print version record.
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