학술논문
신용스프레드의 경기예측력에 관한 연구 / The predictive power of credit spread on business cycle
Document Type
Dissertation/ Thesis
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Abstract
This paper analyzes the predictive power of credit spread on business cycle, contrasting with the existing studies which mainly concern that of short- and long-term yield spread. In particular, it concerns the business predictability of high yield bond spread, which is based on the financial accelerator theory much studied recently and the result of empirical analysis shows that the high yield bond spread, which is defined as difference between the yields rate of BBB- corporate bond and government bond, has significant explanatory power for the business cycle.