The aggregate credit spread and the business cycle

International Review of Financial Analysis

Volumn 11, Issue 2, 2002, Pages 219-227

  Guha, Debashis ^a   Hiris, Lorene ^b,c  

^a Alphanomics LLC   (United States)

^b LONG ISLAND UNIVERSITY   (United States)

^c Economic Cycle Research Institute   (United States)

Author keywords

Business cycle; Credit risk; Interest rate spread; Leading indicator

Indexed keywords

EID: 0036309142     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00075-3     Document Type: Article

References (31)

1. Recessions and recoveries in real business cycle models
2. More powerful tests from confidence interval P values
3. xun2n2v2.f, a Fortran program to perform exact unconditional homogeneity/independence tests for 2x2 tables for large sample sizes
4. Inside the black box: The credit channel of monetary transmission
5. The financial accelerator and the flight to quality
6. Statistical methods in Markov chains
7. The pricing of options and corporate liabilities
8. Measuring business cycles
9. Financial investment opportunities and the macroeconomy
10. Econometric modeling of term structures of defaultable bonds
11. Business conditions and expected returns on stocks and bonds
12. Money, income, prices and interest rates
13. Forecasting the quality spread using business cycle indicators
14. A comparison of some conditional and unconditional tests for 2X2 contingency tables
15. A new approach to the economic analysis of nonstationary time series and the business cycle
16. Real business cycles and the test of the Adelmans
17. On Cox processes and credit risky securities
18. Testing the equality of two independent binomial proportions
19. Choosing the optimal unconditioned test for comparing two independent proportions
20. On the pricing of corporate debt: The risk structure of interest rates
21. The quality of credit in booms and depressions
22. The statistical analysis of discrete data
23. New indexes of coincident and leading indicators
24. Exact properties of some exact test statistics for comparing two binomial proportions
25. Exact unconditional sample sizes for the 2x2 binomial trial
26. Moody's sovereign ratings: A ratings guide
27. Business cycle durations and postwar stabilization of the U.S. economy