CXO

Corporate Bond Spreads And Real Activity In The Euro Area - Least Angle Regression Forecasting And The Probability Of The Recession

Date Added: Jan 2011
Format: PDF

This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds' quality, their term to maturity, as well as the forecast horizon at which one intends to predict a change in real activity. Numerous alternative leading indicators capturing macroeconomic and financial conditions are included in the analysis.