Corporate yield curves as predictors of future economic and financial indicators

Dan Saar, Yossi Yagil

Research output: Contribution to journalArticlepeer-review


The government yield curve is known for its ability to predict the future growth rate of the economy. Later studies showed that credit spreads can assist in predicting macroeconomic behaviour as well. We extend this notion by utilizing corporate yield curves and demonstrating that corporate yield curve spreads can predict future economic growth, the future state of the economy and stock market behaviour. In addition, our sample covers the most recent data available, and it also includes the crash year of 2008 and the recovery period following it. Our results reveal a trade-off effect between the government yield curve, which is a better predictor for long-term forecasting, and the corporate yield curves, which are better predictors for short-term predictions. In addition, we show that both the government and corporate yield curves are more effective in predicting negative rather than positive economic changes.

Original languageEnglish
Pages (from-to)1997-2011
Number of pages15
JournalApplied Economics
Issue number19
StatePublished - 21 Apr 2015

Bibliographical note

Publisher Copyright:
© 2015, © 2015 Taylor & Francis.


  • corporate bonds
  • economic indicators
  • forecasting
  • government bonds
  • term structure

ASJC Scopus subject areas

  • Economics and Econometrics


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