EconPapers    
Economics at your fingertips  
 

Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession

Marco Gross

No 1286, Working Paper Series from European Central Bank

Abstract: This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds JEL Classification: E32, E37, E44, G32

Keywords: automatic model building; corporate bond spreads; least angle regression; point and density forecasting (search for similar items in EconPapers)
Date: 2011-01
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-fmk and nep-for
Note: 3098116
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1286.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111286

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2025-03-19
Handle: RePEc:ecb:ecbwps:20111286