Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components

An Empirical Analysis of Yield Spreads and Their Systematic Components

Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components
This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk... READ MORE...

Publication date: October 2001
ISBN 9781451857580
$15.00

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