An interesting regularity in the markets observed by JPM research: High Yield debt as a lead indicator of recessions… and of equities…
Self-explanatory…
Some more academic links on the high yield bonds forward prediction of business cycles:
Some more academic links on the high yield bonds forward prediction of business cycles:
- Via credit risk channel: Wang, Pengfei and Miao, Jianjun, "Credit Risk and Business Cycles" (September 8, 2010)
- Via productivity channel: Estevão, Marcello M. and Severo, Tiago, "Financial Shocks and TFP Growth" (Janurary 2010). IMF Working Papers, Vol. , pp. 1-35, 2010
- Via yield curve shape: Peña, Juan Ignacio and Rodríguez, Rosa, "On the Economic Link Between Asset Prices and Real Activity". Journal of Business Finance & Accounting, Vol. 34, Nos. 5-6, pp. 889-916, June/July 2007.
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