Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244553 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Working Paper No. 7/2019
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread's usefulness for predicting real economic activity has not changed to a relevant extent after the Great Reces-sion.
Schlagwörter: 
Bayesian VAR
Time-varying parameters
Stochastic volatility
Model selection
JEL: 
C11
C32
C52
E44
E47
G17
Dokumentart: 
Working Paper

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