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

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