TY - BOOK ID - 84540752 TI - Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components AU - Ivaschenko, Iryna. AU - Chan-Lau, Jorge. PY - 2001 SN - 1462325653 1452754233 1282026518 1451902719 9786613796295 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Investments: General KW - Investments: Bonds KW - Industries: General KW - Business Fluctuations KW - Cycles KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation KW - Interest Rates: Determination, Term Structure, and Effects KW - Financial Markets and the Macroeconomy KW - General Financial Markets: General (includes Measurement and Data) KW - Macroeconomics: Production KW - Investment & securities KW - Finance KW - Industrial production KW - Bonds KW - Corporate bonds KW - Yield curve KW - Securities KW - Production KW - Financial institutions KW - Financial services KW - Industries KW - Interest rates KW - Financial instruments KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84540752 AB - This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture "industrial production business cycle" well. ER -