The Corporate Spread Curve and Industrial Production in the United States
IMF Working PaperPublished 1 January 2002
Jorge A. Chan‐Lau, Iryna V. Ivaschenko, [email protected], [email protected]
Citations9
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMP or IMF policy.Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. WPI02/8The term structure of domestic investment grade bond spreads -or corporate spread curvecontains 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 4S-month horizons, and the marginal growth rate over 6-to IS-month horizons.Unlike other financial variables, the corporate spread curve has been a stable predictor of real activity for the last fifteen years.
Keywords
Economics, Econometrics and Finance
EconometricaA Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
17,123 Citations1987Whitney K. Newey, Kenneth D. West
The Review of Economic StudiesAutomatic Lag Selection in Covariance Matrix Estimation
3,316 Citations1994Whitney K. Newey, Kenneth D. West
A nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix is proposed and proved to be asymptotically equivalent to one that is optimal under a mean squared error loss function.
The Journal of FinanceDynamic Asset Pricing Theory.
3,078 Citations1993Jonathan E. Ingersoll, Darrell Duffie
RePEc: Research Papers in EconomicsThe federal funds rate and the channels of monetary transmission
2,838 Citations1989Ben Bernanke, Alan S. Blinder
Review of Financial StudiesModeling Term Structures of Defaultable Bonds
2,588 Citations1999Darrell Duffie, Kenneth J. Singleton
The Journal of FinanceThe Term Structure as a Predictor of Real Economic Activity
1,694 Citations1991Arturo Estrella, Gikas A. Hardouvelis
The Review of Economics and StatisticsPredicting U.S. Recessions: Financial Variables as Leading Indicators
1,201 Citations1998Arturo Estrella, Frederic S. Mishkin
The Journal of FinanceProduction‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
1,126 Citations1991John H. Cochrane
Journal of Financial EconomicsThe real term structure and consumption growth
697 Citations1988Campbell R. Harvey
American Economic ReviewMoney, Income, Prices and Interest Rates
652 Citations1992Benjamin M. Friedman, Kenneth N. Kuttner
European Economic ReviewThe predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank
544 Citations1997Arturo Estrella, Frederic S. Mishkin
Southern Economic JournalFinancial Markets and Financial Crises
511 Citations1992Charles P. Kindleberger, R. Glenn Hubbard
National Bureau of Economic ResearchForecasting Output and Inflation: The Role of Asset Prices
489 Citations2001James H. Stock, Mark Watson
EconometricaSome Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
402 Citations1990Charles R. Nelson, Richard Startz
Business Cycles, Indicators, and Forecasting
363 Citations1993James H. Stock, Mark W. Watson
Journal of Monetary EconomicsInternational term structures and real economic growth
361 Citations1994Charles I. Plosser, K. Geert Rouwenhorst
National Bureau of Economic ResearchSome Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
345 Citations1988C. Dana Nelson, Richard Startz
Econometric ReviewsPredicting Real Growth Using the Yield Curve
210 Citations1996Joseph G. Haubrich, Ann Dombrosky
Journal of Financial EconomicsA multicountry comparison of term-structure forecasts at long horizons
209 Citations1991Philippe Jorion, Frederic S. Mishkin
Journal of Financial EconomicsConsumption, production, inflation and interest rates
159 Citations1986Douglas T. Breeden
Economic quarterly - Federal Reserve Bank of RichmondThe Predictive Content of the Interest Rate Term Spread for Future Economic Growth
134 Citations1998Michael Dotsey
The Journal of FinanceThe Relation Between Default‐Free Interest Rates and Expected Economic Growth Is Stronger Than You Think
46 Citations1997Avraham Kamara
Journal of Economic Dynamics and ControlDefault risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
38 Citations2002Noh‐Sun Kwark
National Bureau of Economic ResearchA Re-examination of the Predictability of Economic Activity Using the Yield Spread
29 Citations2000James R. Hamilton, Dong Heon Kim
SSRN Electronic JournalThe Benchmark U.S. Treasury Market: Recent Performance and Possible Alternatives
22 Citations2006Michael J. Fleming