| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16725 |
| 来源ID | Working Paper 16725 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach | |
| Jon Faust; Simon Gilchrist; Jonathan H. Wright; Egon Zakrajsek | |
| 发表日期 | 2011-01-27 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as measured by the issuer's "distance-to-default." The portfolios are constructed directly from the secondary market prices of outstanding senior unsecured bonds issued by a large number of U.S. corporations. Our results indicate that relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the growth rates of real GDP, business fixed investment, industrial production, and employment, as well as of the changes in the unemployment rate, at horizons from the current quarter (i.e., "nowcasting") out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe exclusively to the inclusion of our portfolio credit spreads in the set of predictors--BMA consistently assigns a high posterior weight to models that include these financial indicators. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w16725 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574400 |
| 推荐引用方式 GB/T 7714 | Jon Faust,Simon Gilchrist,Jonathan H. Wright,et al. Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16725.pdf（371KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
