Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach
نویسندگان
چکیده
منابع مشابه
Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach
We use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity using a large set of possible predictors. The set of potential predictors includes option-adjusted credit spreads—in addition to a large number of other asset market indicators—based on bond portfolios sorted by maturity and credit risk as measured by the issuer’s distance-to-default. The portfolios are co...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2013
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00376