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The Corporate Spread Curve and Industrial Production in the United States

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in interest rates, commercial paper-treasury bill spreads, and lagged values of industri...

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Bibliographic Details
Main Author: Chan-Lau, Jorge
Other Authors: Ivaschenko, Iryna
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2002
Series:IMF Working Papers
Subjects:
Interest Rates
Finance
Securities
Financial Institutions
Financial Services
Production
Industries: General
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
Yield Curve
Prices, Business Fluctuations, And Cycles: Forecasting And Simulation
Macroeconomics: Production
Cycles
Financial Instruments
Bonds
Banks And Banking
Investments: General
Financial Markets And The Macroeconomy
Corporate Bonds
Business Fluctuations
Industrial Production
Interest Rates: Determination, Term Structure, And Effects
Investment & Securities
Industries
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in interest rates, commercial paper-treasury bill spreads, and lagged values of industrial production. In fact, the corporate spread curve can explain the cumulative growth rate of industrial production over 3- to 48-month horizons, and the marginal growth rate over 6- to 18-month horizons. Unlike other financial variables, the corporate spread curve has been a stable predictor of real activity for the last fifteen years
Physical Description:44 pages
ISBN:9781451842524

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