BIS Working Papers No 203 Macro Factors in the Term Structure of Credit Spreads
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چکیده
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منابع مشابه
Credit Spreads and Real Activity ∗
This paper explores the transmission of credit conditions into the real economy. Specifically, I examine the forecasting power of the term structure of credit spreads for future GDP growth. I find that the whole term structure of credit spreads has predictive power, even though the term structure of Treasury yields has none. Using a parsimonious macro-finance term structure model that captures ...
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This paper explores the transmission of credit conditions into the real economy. Specifically, I examine the forecasting power of the term structure of credit spreads for future GDP growth. I find that the whole term structure of credit spreads has predictive power, while the term structure of Treasury yields has none. Using a parsimonious macro-finance term structure model that captures the jo...
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