The term structure of credit spreads and business cycle in Japan

Tatsuyoshi Okimoto, Sumiko Takaoka

研究成果: Article査読

6 被引用数 (Scopus)

抄録

This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the credit spread curve of medium-grade corporate bonds has more useful information than the government bond yield curve for predicting the business cycle. However, our results indicate that the increase in the BBB-rated credit spread is associated with future economic expansion, contradicting the theoretical prediction in the existing literature. Our Markov-switching analysis demonstrates that this peculiar relationship holds only during the global financial crisis regime, and the 1-year government bond yield and the term spread of A-rated credit spread information have significant predictive power for the business cycle, regardless of the economic state.

本文言語English
ページ(範囲)27-36
ページ数10
ジャーナルJournal of The Japanese and International Economies
45
DOI
出版ステータスPublished - 2017 9月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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