The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States
The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States
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高收益利差作为实际经济活动的预测指标：美国金融加速器的证据
DOI：
10.2307/4149938
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
Mark P. Taylor
中科院分区：
文献类型：
--
作者：
A. Mody;Mark P. Taylor
此前的研究发现，利率期限利差可以预测美国的实际经济活动。我们表明这种关系在 20 世纪 90 年代破裂，并表明其早期的成功归因于高且不稳定的通货膨胀。然而，我们发现“垃圾债券”和政府债券收益率之间的高收益利差 (HYS) 预示着 20 世纪 90 年代的实际活动——尤其是高水平的 HYS。我们还发现，HYS 通过经济的需求方和供给方发挥作用。我们将我们的发现解释为支持金融加速器机制。
Previous studies find that the interest rate term spread predicts real U.S. economic activity. We show that this relationship breaks down for the 1990s and suggest that its earlier success was due to high and volatile inflation. We find, however, that the high-yield spread (HYS) between “junk bond” and government bond yields predicts real activity during the 1990s – especially high levels of the HYS. We also find that the HYS works through both the demand and the supply side of the economy. We interpret our findings as supportive of a financial accelerator mechanism.