01945cas a2200253 a 4500 AALejournalIMF001715 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451857580 1018-5941 BD-DhAAL BD-DhAAL Ivaschenko, Iryna. Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components / Iryna Ivaschenko, Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2001. 1 online resource (62 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture "industrial production business cycle" well. Mode of access: Internet Chan-Lau, Jorge. IMF Working Papers; Working Paper ; No. 2001/158 Full text available on IMF http://elibrary.imf.org/view/journals/001/2001/158/001.2001.issue-158-en.xml IMF e-Library