The time-varying leading properties of the high yield spread in the United States

We propose a comprehensive empirical examination of the time-varying leading properties of two high yield spreads in the United States, and compare them with the leading properties of the term spread between the mid-1980s and the end of 2011. In a large set of in-sample and out-of-sample forecast ex...

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Veröffentlicht in:	International journal of forecasting 2016-01, Vol.32 (1), p.203-230
Hauptverfasser:	De Pace, Pierangelo, Weber, Kyle D.
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic activity Economic crisis Economic forecasts Economic growth GDP Gross Domestic Product Industrial production Studies
Online-Zugang:	Volltext
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