The credit spread curve distribution and economic fluctuations in Japan

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dc.contributor.authorOkimoto, Tatsuyoshi
dc.contributor.authorTakaoka, Sumiko
dc.date.accessioned2024-03-06T23:50:36Z
dc.date.issued2022
dc.date.updated2022-10-16T07:27:05Z
dc.description.abstractPredicting the future economy is of great interest to practitioners and policymakers. In this study, we confront this problem by examining the relationship between credit spread curves and future economic activity. To this end, we construct a monthly empirical distribution of credit spread curves by calculating credit spreads of corporate bonds at the firm level in Japan and examine whether it can be used to predict a Japanese business cycle. We find that the credit spread curve information in higher deciles (implying lower credit quality) provides more predictive power for the future economy than the information of government bond yield curve or the credit spread index suggested by previous studies. In addition, the smooth-transition predictive regression analysis demonstrates that credit spread curves have more predictive power under the low uncertainty regime, and depict a significant predictive power for a short horizon for both regimes. Finally, our component-wise analysis shows that the credit spread curve information has robust predictive power for producer-side indicators under the low uncertainty regime and for labor market conditions, regardless of the regime.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0261-5606en_AU
dc.identifier.urihttp://hdl.handle.net/1885/315784
dc.language.isoen_AUen_AU
dc.publisherPergamon Pressen_AU
dc.rights© 2021 Elsevieren_AU
dc.sourceJournal of International Money and Financeen_AU
dc.subjectCorporate bond spreadsen_AU
dc.subjectBusiness cycleen_AU
dc.subjectPredictive regressionen_AU
dc.subjectSmooth transition modelen_AU
dc.subjectTerm structureen_AU
dc.titleThe credit spread curve distribution and economic fluctuations in Japanen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.lastpage21en_AU
local.bibliographicCitation.startpage1en_AU
local.contributor.affiliationOkimoto, Tatsuyoshi, College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationTakaoka, Sumiko, Seikei Universityen_AU
local.contributor.authoremailu5577820@anu.edu.auen_AU
local.contributor.authoruidOkimoto, Tatsuyoshi, u5577820en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350200 - Banking, finance and investmenten_AU
local.identifier.ariespublicationa383154xPUB24611en_AU
local.identifier.citationvolume122en_AU
local.identifier.doi10.1016/j.jimonfin.2021.102582en_AU
local.identifier.scopusID2-s2.0-85122457079
local.identifier.uidSubmittedBya383154en_AU
local.publisher.urlhttps://www.elsevier.com/en_AU
local.type.statusPublished Versionen_AU

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