Leading indicator properties of US high-yield credit spreads

Nektarios Aslanidis and Andrea Cipollini

Journal of Macroeconomics, 2010, vol. 32, issue 1, 145-156

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 using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data are qualitatively similar to those obtained using real-time data.

Keywords: Credit; spreads; Principal; components; Forecasting; Real-time; data (search for similar items in EconPapers)
Date: 2010
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Related works:
Working Paper: Leading indicator properties of US high-yield credit spreads (2009)
Working Paper: Leading indicator properties of US high-yield credit spreads (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:32:y:2010:i:1:p:145-156

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