The question of predictability of credit spreads is of more than just academic interest. The ability to generate unerring spread forecasts is of considerable practical relevance for both treasurers of companies, who want to finance themselves through bonds, and institutional investors, who must...

This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on the entire term structure of the credit...