High yield spreads, real economic activity, and the financial accelerator

We study the leading properties of 30 US high yield spreads for economic growth between 1996 and 2012 and show that they disappeared in the second half of the 2000s. Our empirical findings demonstrate the unreliability of high yield spreads as leading indicators and cast doubts on the existence of a strong and functioning financial accelerator in recent years.

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Year of publication:	2013
Authors:	De Pace, Pierangelo ; Weber, Kyle D.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 346-355
Publisher:	Elsevier
Subject:	High yield spreads \| Leading properties \| Financial accelerator

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729436