The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications
研究发现高收益债券利差对商业周期有显著解释力，且优于期限利差等其他金融指标，可能反映了金融因素在周期中的作用。
The market for high-yield (below-investment-grade) corporate bonds developed in the middle 1980s. We show that, since this time, the high-yield spread has had significant explanatory power for the business cycle. We interpret this finding as possibly symptomatic of financial factors at work in the business cycle, along the lines suggested by the financial accelerator. We also show that over this period the high-yield spread outperforms other leading financial indicators, including the term spread, the paper-bill spread, and the Federal Funds rate. We conjecture that changes in the conduct of monetary policy over time may account for the reduced informativeness of these alternative indicators, all of which are tied closely to monetary policy.