Do corporate credit spreads predict the real economy?

Ujjal Kanti Chatterjee and Flavio Bazzana

International Review of Economics & Finance, 2024, vol. 91, issue C, 272-286

Abstract: We evaluate whether corporate credit-spreads measures contain predictive information about the real U.S. economy in a comprehensive specification that includes financial sectors’ profitability, stock and bond market. We find that corporate credit spreads contain no predictive information about U.S. real GDP or consumption and that corporate credit spreads have minimal information about forthcoming recessions. In comparison, the financial sector’s profitability, the Treasury bond and stock market variables contain leading information about recessions, consumption and real GDP.

Keywords: Business cycles; Real GDP; Corporate credit-spreads; Stock trading activities; Supply of credit (search for similar items in EconPapers)
JEL-codes: E22 E44 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:91:y:2024:i:c:p:272-286

DOI: 10.1016/j.iref.2024.01.061

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