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Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession

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  • Gross, Marco

Abstract

This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds JEL Classification: E32, E37, E44, G32

Suggested Citation

  • Gross, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20111286
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    Cited by:

    1. Krylova, Elizaveta, 2016. "Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area," Working Paper Series 1911, European Central Bank.
    2. Seitz, Franz & Baumann, Ursel & Albuquerque, Bruno, 2015. "The information content of money and credit for US activity," Working Paper Series 1803, European Central Bank.
    3. Albuquerque, Bruno & Baumann, Ursel & Seitz, Franz, 2016. "What does money and credit tell us about real activity in the United States?," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 328-347.
    4. repec:ecb:ecbwps:20141803 is not listed on IDEAS

    More about this item

    Keywords

    automatic model building; corporate bond spreads; least angle regression; point and density forecasting;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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