Abstract
Past research has shown that the government yield curve and credit spreads can predict future macroeconomic parameters such as the growth rate. However, it has focused mostly on the US government yield curve. In this study we extend the existing notion by using both government and corporate yield curves to predict economic growth and stock market behavior in three main markets outside the US.The results we obtained from the British, European and Japanese markets reveal that government and corporate yield curves can indeed predict future economic growth and stock market trends.
Original language | English |
---|---|
Pages (from-to) | 27-41 |
Number of pages | 15 |
Journal | Journal of International Financial Markets, Institutions and Money |
Volume | 37 |
DOIs | |
State | Published - 1 Jul 2015 |
Bibliographical note
Publisher Copyright:© 2015 Elsevier B.V.
Keywords
- Corporate bonds
- Forecasting
- Government bonds
- Stock market
- Term structure
- Yield curve
ASJC Scopus subject areas
- Finance
- Economics and Econometrics