The Corporate Spread Curve and Industrial Production in the United States
Electronic Access:
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Summary:
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.
Series:
Working Paper No. 2002/008
Subject:
Bonds Corporate bonds Financial institutions Financial services Industrial production Production Securities Yield curve
English
Publication Date:
January 1, 2002
ISBN/ISSN:
9781451842524/1018-5941
Stock No:
WPIEA0082002
Pages:
44
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