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| Author: | Mody, A. Taylor, M.P. |
| Title: | The high-yield spread as a predictor of real economic activity: evidence of a financial accelerator for the United States |
| Journal: | IMF Staff papers
2003 : VOL. 50:3, p. 373-402 |
| Index terms: | Term structure of interest rates USA |
| Freeterms: | Financial acceleration High-yield spread |
| Language: | eng |
| Abstract: | It has been found in previous studies that the interest rate term spread predicts real U.S. economic activity. It is shown that this relationship breaks down for the 1990s and it is suggested that its earlier success was due to high and volatile inflation. The authors find, however, that the high-yield spread (HYS) between "junk bond" and government bond yields predicts real activity during the 1990s - especially high levels of the HYS. |
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