Sökning: WFRF:(Karlsson Sune Professor 1960 )
> (2019) >
The Relation betwee...
The Relation between the Corporate Bond-Yield Spread and the Real Economy : Stable or TimeVarying?
-
- Karlsson, Sune, Professor, 1960- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
-
- Österholm, Pär, 1974- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
-
(creator_code:org_t)
- Örebro, Sweden : Örebro University, School of Business, 2019
- Engelska 9 s.
- Relaterad länk:
-
https://swopec.hhs.s...
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Bayesian VAR
- Time-varying parameters
- Stochastic volatility
- Model selection
- Statistik
- Statistics
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)