In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise.Our main findings suggest that the best results come from using only a few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. In particular, for employment and at short-run horizons, there is a gain from usinga principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data are qualitativelysimilar to those obtained using real-time data

Leading indicator properties of US high-yield credit spreads / Nektarios, Aslanidis; Cipollini, Andrea. - In: JOURNAL OF MACROECONOMICS. - ISSN 0164-0704. - ELETTRONICO. - 32:(2010), pp. 145-156. [10.1016/j.jmacro.2009.10.002]

Leading indicator properties of US high-yield credit spreads

CIPOLLINI, Andrea
2010

Abstract

In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise.Our main findings suggest that the best results come from using only a few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. In particular, for employment and at short-run horizons, there is a gain from usinga principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data are qualitativelysimilar to those obtained using real-time data
2010
32
145
156
Leading indicator properties of US high-yield credit spreads / Nektarios, Aslanidis; Cipollini, Andrea. - In: JOURNAL OF MACROECONOMICS. - ISSN 0164-0704. - ELETTRONICO. - 32:(2010), pp. 145-156. [10.1016/j.jmacro.2009.10.002]
Nektarios, Aslanidis; Cipollini, Andrea
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/632418
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