Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets

Dan Saar and Yossi Yagil

Journal of International Financial Markets, Institutions and Money, 2015, vol. 37, issue C, 27-41

Abstract: Past research has shown that the government yield curve and credit spreads can predict future macroeconomic parameters such as the growth rate. However, it has focused mostly on the US government yield curve. In this study we extend the existing notion by using both government and corporate yield curves to predict economic growth and stock market behavior in three main markets outside the US.

Keywords: Yield curve; Term structure; Forecasting; Corporate bonds; Government bonds; Stock Market (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:37:y:2015:i:c:p:27-41

DOI: 10.1016/j.intfin.2015.04.002

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