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

被引：6

作者：

De Pace, Pierangelo ^{[1
]}

Weber, Kyle D. ^{[1
]}

机构：

[1] Pomona Coll, Dept Econ, Claremont, CA 91711 USA

来源：

ECONOMICS LETTERS | 2013年 / 121卷 / 03期

关键词：

High yield spreads; Leading properties; Financial accelerator;

D O I：

10.1016/j.econlet.2013.08.027

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：346 / 355

页数：10

共 8 条

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Bernanke Ben S., 1995, 5146 NBER

[2]

Bernanke BS, 1999, HBK ECON, V15, P1341

[3] GROSS DOMESTIC PRODUCT GROWTH PREDICTIONS THROUGH THE YIELD SPREAD: TIME-VARIATION AND STRUCTURAL BREAKS [J].