Corporate Bond Spreads and Real Activity in the Euro Area

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Corporate Bond Spreads and Real Activity in the Euro Area

  • Corporate bond spreads and real activity in the euro area – least angle regression forecasting and the probability of the recession
  • Contents
  • Abstract
  • Non-technical summary
  • 1 Introduction
  • 2 Econometric methodology
    • 2.1 The model suite
    • 2.2 Least angle regression and recursive model building
    • 2.3 Point and density forecasting and forecast evaluation
  • 3 Data
  • 4 In-sample analysis
    • 4.1 Ranking based on bivariate models and LAR
    • 4.2 Estimation results for selected LAR models
  • 5 Out-of-sample analysis
    • 5.1 Point and directional forecast accuracy
    • 5.2 Density forecast accuracy
    • 5.3 Rank variation over time
  • 6 Model-implied probabilities of recession
  • 7 Conclusions
  • References
Download Corporate Bond Spreads and Real Activity in the Euro Area pdf from www.ecb.int, 65 pages, 1402.26KB.
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