Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Review of Economics and Statistics - Tập 95 Số 5 - Trang 1501-1519 - 2013
Jon Faust1,2, Simon Gilchrist3,4, Jonathan H. Wright5, Egon Zakrajšsek6
1Board of Governors of the Federal Reserve - Division of International Finance
2Johns Hopkins University, Federal Reserve Board, and NBER
3National Bureau of Economic Research (NBER)
4Boston University - Department of Economics
5Johns Hopkins University, Department of Economics
6Federal Reserve Board - Division of Monetary Affairs

Tóm tắt

Abstract Employing a large number of financial indicators, we use Bayesian model averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios, constructed directly from the secondary market prices of outstanding bonds, sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically sensitive measures of economic activity at horizons from the current quarter out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe almost exclusively to the inclusion of credit spreads in the set of predictors.

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Thông tin
Thông tin xuất bản

Review of Economics and Statistics

Tập 95 Số 5

1501-1519

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