Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
The Corporate Spread Curve and Industrial Production in the United States
|
Author/Editor: |
Chan-Lau, Jorge A. | Ivaschenko, Iryna V. |
| Authorized for Distribution: |
January 1, 2002 |
|
Electronic Access: |
Free Full Text (PDF file size is 1,177KB)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
|
|
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. 02/8 |
|
Subject(s): |
Economic forecasting | United States | Industrial production | Economic models |
|
Author's keyword(s): |
Investment grade bonds | corporate spreads | term structure | real activity | forecasting | GMM estimation | United States |
|
|
|
|
| |
Published: |
|
January 1, 2002 |
|
|
|
|
| |
ISBN/ISSN: |
|
1934-7073 |
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA0082002 |
|
Pages: |
|
44 |
| |
Price: |
|
US$15.00
|
|
|
|
|
|
| |
|
|
|
Price Delivery Note: |
Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA. |
|
Please address any questions about this title to publications@imf.org.
|
|
