The Corporate Spread Curve and Industrial Production in the United States |
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| Author:
| Chan-Lau, Jorge A.
Ivaschenko, Iryna V. |
| ISBN: | 978-1-4518-4252-4 |
| Publication Date: | Jan 2002 |
| Publisher: | International Monetary Fund
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| Book Format: | Paperback |
| List Price: | AUD $23.95 |
Book Description:
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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...
More DescriptionThe 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.