Credit Indicators as Predictors of Economic Activity: A Real‐Time VAR Analysis
利用利差、垃圾债券利差和银行放贷意愿等信用指标，通过灵活的状态空间模型处理数据修正，显著提升了中期产出和就业预测的准确性，对政策制定者和私人决策者具有参考价值。
Using readily available indicators of the profitability, price, and availability of credit—the term spread, junk‐bond spread, and banks’ “willingness to lend” as reported by the Federal Reserve—we show that it is possible to significantly improve on the real‐time output and employment predictions of forecasting professionals at the medium‐run horizons that are most relevant to policymakers and private decision makers. Key to this improvement is a flexible state–space model of data revisions. The willingness‐to‐lend variable is the best real‐time predictor of GDP growth. For forecasting job growth, all three credit indicators prove helpful.