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Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach

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Cited by:

  1. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2021. "Economic Predictions With Big Data: The Illusion of Sparsity," Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
  2. Kose, M. Ayhan & Ha, Jongrim & Otrok, Christopher & Prasad, Eswar, 2020. "Global Macro-Financial Cycles and Spillovers," CEPR Discussion Papers 14404, C.E.P.R. Discussion Papers.
  3. Benjamin Born & Gernot Müller & Johannes Pfeifer & Susanne Wellmann, 2020. "Different No More: Country Spreads in Advanced and Emerging Economies," CESifo Working Paper Series 8083, CESifo.
  4. Hännikäinen, Jari, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, Elsevier, vol. 26(C), pages 47-54.
  5. Koji Takahashi & Sumiko Takaoka, 2023. "How much do firms need to satisfy employees? - Evidence from credit spreads and online employee reviews," BIS Working Papers 1111, Bank for International Settlements.
  6. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
  7. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
  8. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
  9. Knotek, Edward S. & Zaman, Saeed, 2019. "Financial nowcasts and their usefulness in macroeconomic forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
  10. Caldara, Dario & Fuentes-Albero, Cristina & Gilchrist, Simon & Zakrajšek, Egon, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, Elsevier, vol. 88(C), pages 185-207.
  11. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2024. "Sustainability and credit spreads in Japan," International Review of Financial Analysis, Elsevier, vol. 91(C).
  12. Narayan Kundan Kishor, 2021. "Forecasting real‐time economic activity using house prices and credit conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 213-227, March.
  13. Giovanni Dell'Ariccia & Karl Habermeier & Vikram Haksar & Tommaso Mancini-Griffoli, 2017. "Monetary Policy and Financial Stability," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
  14. Hännikäinen, Jari, 2017. "When does the yield curve contain predictive power? Evidence from a data-rich environment," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1044-1064.
  15. Aromi, J. Daniel, 2020. "Linking words in economic discourse: Implications for macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1517-1530.
  16. repec:rza:wpaper:435 is not listed on IDEAS
  17. Takaoka, Sumiko, 2018. "Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads," MPRA Paper 86418, University Library of Munich, Germany.
  18. Harri Ponka, 2017. "The Role of Credit in Predicting US Recessions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 469-482, August.
  19. Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019. "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
  20. Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).
  21. Duca, John V., 2013. "Did the commercial paper funding facility prevent a Great Depression style money market meltdown?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 747-758.
  22. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
  23. Berger, Tino & Richter, Julia & Wong, Benjamin, 2022. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  24. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," Working Paper Series 2830, European Central Bank.
  25. Breitung, Jörg & Eickmeier, Sandra, 2014. "Analyzing business and financial cycles using multi-level factor models," Discussion Papers 11/2014, Deutsche Bundesbank.
  26. Eicher, Theo S. & García-Peñalosa, Cecilia & Kuenzel, David J., 2018. "Constitutional rules as determinants of social infrastructure," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 182-209.
  27. Angela Abbate & Massimiliano Marcellino, 2017. "Macroeconomic activity and risk indicators: an unstable relationship," BAFFI CAREFIN Working Papers 1756, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  28. Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
    • Jules Vanbinsbergen & Wouter H. Hueskes & Ralph Koijen & Evert B Vrugt, 2012. "Equity Yields," Working Papers 2012-007, Becker Friedman Institute for Research In Economics.
  29. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  30. Christoph Görtz & John D. Tsoukalas, 2013. "Sector Specific News Shocks in Aggregate and Sectoral Fluctuations," CESifo Working Paper Series 4269, CESifo.
  31. Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2022. "The Effect of News Shocks and Monetary Policy," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 139-164, Emerald Group Publishing Limited.
  32. Esteban Prieto & Sandra Eickmeier & Massimiliano Marcellino, 2016. "Time Variation in Macro‐Financial Linkages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1215-1233, November.
  33. Anna Samarina & Anh D.M. Nguyen, 2024. "Does Monetary Policy Affect Income Inequality in the Euro Area?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 35-80, February.
  34. Jinhwan Kim & Hoon Cho & Doojin Ryu, 2025. "Global Risk Aversion: Driving Force of Future Real Economic Activity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 706-729, March.
  35. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  36. Breitung, Jörg & Eickmeier, Sandra, 2015. "Analyzing business cycle asymmetries in a multi-level factor model," Economics Letters, Elsevier, vol. 127(C), pages 31-34.
  37. Hännikäinen, Jari, 2014. "The mortgage spread as a predictor of real-time economic activity," MPRA Paper 58360, University Library of Munich, Germany.
  38. Anna Samarina & Anh D.M. Nguyen, 2019. "Does monetary policy affect income inequality in the euro area?," Bank of Lithuania Working Paper Series 61, Bank of Lithuania.
  39. Merola, Rossana, 2015. "The role of financial frictions during the crisis: An estimated DSGE model," Economic Modelling, Elsevier, vol. 48(C), pages 70-82.
  40. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024. "Daily growth at risk: Financial or real drivers? The answer is not always the same," International Journal of Forecasting, Elsevier, vol. 40(2), pages 762-776.
  41. Santis, Roberto A. De, 2018. "Unobservable systematic risk, economic activity and stock market," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 51-69.
  42. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  43. Hasan, Iftekhar & Horvath, Roman & Mares, Jan, 2020. "Finance and wealth inequality," Journal of International Money and Finance, Elsevier, vol. 108(C).
  44. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2022. "The credit spread curve distribution and economic fluctuations in Japan," Journal of International Money and Finance, Elsevier, vol. 122(C).
  45. Berger, Tino & Richter, Julia & Wong, Benjamin, 2022. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  46. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
  47. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
  48. Kwon, Dohyoung, 2020. "Risk Shocks and Credit Spreads," Journal of Macroeconomics, Elsevier, vol. 64(C).
  49. Michael T. Kiley, 2023. "Recession Signals and Business Cycle Dynamics: Tying the Pieces Together," Finance and Economics Discussion Series 2023-008, Board of Governors of the Federal Reserve System (U.S.).
  50. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
  51. Brownlees, Christian & Souza, André B.M., 2021. "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 312-330.
  52. Guender, Alfred V, 2018. "Credit prices vs. credit quantities as predictors of economic activity in Europe: Which tell a better story?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 380-399.
  53. Michael T. Kiley, 2022. "Unemployment Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1407-1424, August.
  54. Jürgen Antony & D. Broer, 2015. "Euro area financial shocks and economic activity in The Netherlands," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 571-595, August.
  55. Nicoletti, Giulio & Passaro, Raffaele, 2012. "Sometimes it helps: the evolving predictive power of spreads on GDP dynamics," Working Paper Series 1447, European Central Bank.
  56. Stefan Gebauer, 2017. "The Use of Financial Market Variables in Forecasting," DIW Roundup: Politik im Fokus 115, DIW Berlin, German Institute for Economic Research.
  57. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
  58. Schumacher, Christian, 2014. "MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100289, Verein für Socialpolitik / German Economic Association.
  59. Hafsa Hina & Henna Ahsan & Hania Afzal, 2022. "The Information in the Yield Spread for the Recession in the Case of Pakistan," PIDE-Working Papers 2022:11, Pakistan Institute of Development Economics.
  60. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
  61. Samuels, Jon D. & Sekkel, Rodrigo M., 2017. "Model Confidence Sets and forecast combination," International Journal of Forecasting, Elsevier, vol. 33(1), pages 48-60.
  62. Stefan Laseen & Marzie Taheri Sanjani, 2016. "Did the Global Financial Crisis Break the U.S. Phillips Curve?," IMF Working Papers 2016/126, International Monetary Fund.
  63. Gkougkousi, Xanthi & John, Kose & Radhakrishnan, Suresh & Sadka, Gil & Saunders, Anthony, 2022. "Cross-sectional dispersion and bank performance," Journal of Banking & Finance, Elsevier, vol. 138(C).
  64. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  65. Régis Barnichon & Christian Matthes & Alexander Ziegenbein, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
  66. Simon Gilchrist & Egon Zakrajšek, 2011. "Monetary Policy and Credit Supply Shocks," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 195-232, June.
  67. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
  68. Jon D. Samuels & Rodrigo Sekkel, 2013. "Forecasting with Many Models: Model Confidence Sets and Forecast Combination," Staff Working Papers 13-11, Bank of Canada.
  69. Yimin Xu & Jakob de Haan, 2016. "Does the Fed's unconventional monetary policy weaken the link between the financial and the real sector?," DNB Working Papers 529, Netherlands Central Bank, Research Department.
  70. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," Working Papers 2016/08, Czech National Bank, Research and Statistics Department.
  71. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2025. "Specification Choices in Quantile Regression for Empirical Macroeconomics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 57-73, January.
  72. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  73. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  74. Paul Kitney, 2016. "Financial factors and monetary policy: Determinacy and learnability of equilibrium," CAMA Working Papers 2016-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  75. Popp, Aaron & Zhang, Fang, 2016. "The macroeconomic effects of uncertainty shocks: The role of the financial channel," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 319-349.
  76. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  77. De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
  78. Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 23-40.
  79. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
  80. Colombo, Valentina & Paccagnini, Alessia, 2020. "Does the credit supply shock have asymmetric effects on macroeconomic variables?," Economics Letters, Elsevier, vol. 188(C).
  81. Deschamps, Bruno & Ioannidis, Christos & Ka, Kook, 2020. "High-frequency credit spread information and macroeconomic forecast revision," International Journal of Forecasting, Elsevier, vol. 36(2), pages 358-372.
  82. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
  83. Kuosmanen, Petri & Rahko, Jaana & Vataja, Juuso, 2019. "Predictive ability of financial variables in changing economic circumstances," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 37-47.
  84. Karlsson, Sune & Österholm, Pär, 2020. "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, vol. 186(C).
  85. Saman Hatamerad & Hossain Asgharpur & Bahram Adrangi & Jafar Haghighat, 2024. "Stock price index analysis of four OPEC members: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-29, December.
  86. Deng, Chuang & Wu, Jian, 2023. "Macroeconomic downside risk and the effect of monetary policy," Finance Research Letters, Elsevier, vol. 54(C).
  87. Jari Hännikäinen, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 47-54, September.
  88. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
  89. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.
  90. Ujjal Chatterjee, 2023. "Predicting economic growth: evidence from real-estate loans securitization," SN Business & Economics, Springer, vol. 3(3), pages 1-20, March.
  91. Jaehoon Hahn & Ho-Seong Moon, 2016. "Credit Cycle and the Macroeconomy: Empirical Evidence from Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(4), pages 76-108, December.
  92. Cheng, Tingting & Qiu, Liping & Lv, Wenya & Yang, Xuanbin & Yang, Gang, 2024. "Economic policy uncertainty and municipal corporate bonds credit spreads: Evidence from China," Finance Research Letters, Elsevier, vol. 69(PB).
  93. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2017. "The term structure of credit spreads and business cycle in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 45(C), pages 27-36.
  94. Josef Hollmayr & Michael Kuehl, 2016. "Imperfect Information about Financial Frictions and Consequences for the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 179-207, October.
  95. Leonardo Gambacorta & Sergio Mayordomo & Jose Maria Serena, 2020. "Dollar borrowing, firmcharacteristics, and FX-hedged funding opportunities," BIS Working Papers 843, Bank for International Settlements.
  96. Yang, Qiao, 2019. "Stock returns and real growth: A Bayesian nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 53-69.
  97. Barnichon, Regis & Matthes, Christian & Ziegenbein, Alexander, 2016. "Assessing the Non-Linear Effects of Credit Market Shocks," CEPR Discussion Papers 11410, C.E.P.R. Discussion Papers.
  98. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
  99. Johannes Poeschl & Ram Yamarthy, 2022. "Aggregate Risk in the Term Structure of Corporate Credit," Working Papers 22-02, Office of Financial Research, US Department of the Treasury.
  100. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
  101. Chatterjee, Ujjal Kanti & Bazzana, Flavio, 2024. "Do corporate credit spreads predict the real economy?," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 272-286.
  102. Aromi, J. Daniel & Clements, Adam, 2021. "Facial expressions and the business cycle," Economic Modelling, Elsevier, vol. 102(C).
  103. Xu Feng & Xiaowen An & Yahui An & Yajun Xiao, 2024. "Shadow Funding and Economic Growth: Evidence from China," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 589-611, March.
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  105. Kaviani, Mahsa S. & Kryzanowski, Lawrence & Maleki, Hosein & Savor, Pavel, 2020. "Policy uncertainty and corporate credit spreads," Journal of Financial Economics, Elsevier, vol. 138(3), pages 838-865.
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