Aslanidis, Nektarios; Cipollini, Andrea - Money Macro and Finance Research Group - 2007
The focus of this paper is on the leading indicator properties of high-yield corporate spreads regarding the level of …-yield spreads regarding employment and industrial production in the US, using both a point forecast and a probability forecast …-yield credit spreads. This can be justified by observing that there is a substantial gain from using a Dynamic Factor fitted to …