In this paper we examine the out-of-sample forecast performance of high-yield credit spreads regarding employment and industrial production in the US, 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 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.

Cipollini, A. e N., Aslanidis. "Leading indicator properties of US high-yield credit spread" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2007.

Leading indicator properties of US high-yield credit spread

Cipollini, A.;
2007

Abstract

In this paper we examine the out-of-sample forecast performance of high-yield credit spreads regarding employment and industrial production in the US, 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 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.
2007
Ottobre
Cipollini, A.; Aslanidis, N.
Cipollini, A. e N., Aslanidis. "Leading indicator properties of US high-yield credit spread" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2007.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1292051
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