{"id":"https://openalex.org/W1574494271","doi":"https://doi.org/10.34989/swp-2002-15","title":"Corporate Bond Spreads and the Business Cycle","display_name":"Corporate Bond Spreads and the Business Cycle","publication_year":2021,"publication_date":"2021-03-08","ids":{"openalex":"https://openalex.org/W1574494271","doi":"https://doi.org/10.34989/swp-2002-15","mag":"1574494271"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:bca:bocawp:02-15","doi":null,"is_oa":false,"landing_page_url":"https://doi.org/10.34989/swp-2002-15","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.34989/swp-2002-15","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100347601","display_name":"Zhiwei Zhang","orcid":"https://orcid.org/0000-0002-4766-6198","observed_orcids":["https://orcid.org/0000-0002-4766-6198"]},"institutions":[{"id":"https://openalex.org/I36258959","display_name":"University of California San Diego","ror":"https://ror.org/0168r3w48","country_code":"US","type":"education","lineage":["https://openalex.org/I36258959"]},{"id":"https://openalex.org/I898769471","display_name":"Bank of Canada","ror":"https://ror.org/05cc98565","country_code":"CA","type":"other","lineage":["https://openalex.org/I898769471"]}],"countries":["CA","US"],"is_corresponding":true,"raw_author_name":"Zhang, Zhiwei","raw_affiliation_strings":["Bank of Canada","University of California,  San Diego"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bank of Canada","institution_ids":["https://openalex.org/I898769471"]},{"raw_affiliation_string":"University of California,  San Diego","institution_ids":["https://openalex.org/I36258959"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100347601"],"corresponding_institution_ids":["https://openalex.org/I36258959","https://openalex.org/I898769471"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":32,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.5781000256538391,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.5781000256538391,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.3589000105857849,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.015699999406933784,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/corporate-bond-spreads","display_name":"corporate bond spreads","score":0.9079999923706055},{"id":"https://openalex.org/keywords/credit-spreads","display_name":"credit spreads","score":0.9190000295639038},{"id":"https://openalex.org/keywords/business-cycle-forecasting","display_name":"business cycle forecasting","score":0.8069999814033508},{"id":"https://openalex.org/keywords/high-yield-bonds","display_name":"high-yield bonds","score":0.9300000071525574},{"id":"https://openalex.org/keywords/investment-grade-bonds","display_name":"investment grade bonds","score":0.9940000176429749},{"id":"https://openalex.org/keywords/term-spread","display_name":"term spread","score":0.8240000009536743},{"id":"https://openalex.org/keywords/production-forecasting","display_name":"production forecasting","score":0.6150000095367432},{"id":"https://openalex.org/keywords/leading-indicators","display_name":"leading indicators","score":0.6100000143051147},{"id":"https://openalex.org/keywords/credit-channel","display_name":"credit channel","score":0.6899999976158142},{"id":"https://openalex.org/keywords/threshold-nonlinearity","display_name":"threshold nonlinearity","score":0.7229999899864197},{"id":"https://openalex.org/keywords/monetary-policy","display_name":"monetary policy","score":0.515999972820282}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5604591369628906},{"id":"https://openalex.org/C83873408","wikidata":"https://www.wikidata.org/wiki/Q192311","display_name":"Business cycle","level":2,"score":0.5103549361228943},{"id":"https://openalex.org/C549774020","wikidata":"https://www.wikidata.org/wiki/Q851147","display_name":"Welfare economics","level":1,"score":0.4736655652523041},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.44557854533195496},{"id":"https://openalex.org/C15708023","wikidata":"https://www.wikidata.org/wiki/Q80083","display_name":"Humanities","level":1,"score":0.4408615827560425},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.412431001663208},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.1609770655632019},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15173950791358948},{"id":"https://openalex.org/C165556158","wikidata":"https://www.wikidata.org/wiki/Q83937","display_name":"Keynesian economics","level":1,"score":0.071196049451828}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:RePEc:bca:bocawp:02-15","doi":null,"is_oa":false,"landing_page_url":"https://doi.org/10.34989/swp-2002-15","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.34989/swp-2002-15","doi":"https://doi.org/10.34989/swp-2002-15","is_oa":true,"landing_page_url":"https://doi.org/10.34989/swp-2002-15","pdf_url":null,"source":{"id":"https://openalex.org/S7407050688","display_name":"Bank of Canada Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I898769471","host_organization_name":"Bank of Canada","host_organization_lineage":["https://openalex.org/I898769471"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.34989/swp-2002-15","doi":"https://doi.org/10.34989/swp-2002-15","is_oa":true,"landing_page_url":"https://doi.org/10.34989/swp-2002-15","pdf_url":null,"source":{"id":"https://openalex.org/S7407050688","display_name":"Bank of Canada Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I898769471","host_organization_name":"Bank of Canada","host_organization_lineage":["https://openalex.org/I898769471"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W654800827","https://openalex.org/W1482503699","https://openalex.org/W1484159650","https://openalex.org/W1510000317","https://openalex.org/W1517876874","https://openalex.org/W1549380793","https://openalex.org/W1575699978","https://openalex.org/W1577370510","https://openalex.org/W1922475389","https://openalex.org/W1933529014","https://openalex.org/W1975161917","https://openalex.org/W1992338415","https://openalex.org/W1995834279","https://openalex.org/W2011886674","https://openalex.org/W2025143968","https://openalex.org/W2037432647","https://openalex.org/W2046430833","https://openalex.org/W2050919537","https://openalex.org/W2051794781","https://openalex.org/W2054937089","https://openalex.org/W2082317778","https://openalex.org/W2091205586","https://openalex.org/W2100935590","https://openalex.org/W2104267426","https://openalex.org/W2105973145","https://openalex.org/W2108194505","https://openalex.org/W2133677473","https://openalex.org/W2136241359","https://openalex.org/W2137891558","https://openalex.org/W2139250112","https://openalex.org/W2149723535","https://openalex.org/W2153781790","https://openalex.org/W2169878477","https://openalex.org/W2222565413","https://openalex.org/W3093578674","https://openalex.org/W3121877964","https://openalex.org/W3121914372","https://openalex.org/W3121935849","https://openalex.org/W3122403692","https://openalex.org/W3122512945","https://openalex.org/W3122798454","https://openalex.org/W3123285923","https://openalex.org/W3124894581","https://openalex.org/W3124955107","https://openalex.org/W3125696988","https://openalex.org/W3125770834","https://openalex.org/W3126033037"],"related_works":["https://openalex.org/W3123244635","https://openalex.org/W2159658990","https://openalex.org/W2983030622","https://openalex.org/W4247800481","https://openalex.org/W633504643","https://openalex.org/W398910905","https://openalex.org/W3126051340","https://openalex.org/W3125105455","https://openalex.org/W3001002818","https://openalex.org/W170821278"],"abstract_inverted_index":{"This":[0],"paper":[1],"examines":[2],"the":[3,10,37,60,70,84,96,105,111,114,118,123,137,142,152,155,167,176,194,206,209,217,220],"predictive":[4],"power":[5],"of":[6,30,50,151,185,205,216],"credit":[7,159,195],"spreads":[8,63,182],"from":[9,95,104],"corporate":[11,61,124,181],"bond":[12,16,62],"market.":[13],"The":[14,93,126,158,198],"high-yield":[15,97,156,210],"spread":[17,20,39,98,116,144,211],"and":[18,26,83,91,117,141,212],"investment-grade":[19,106,221],"can":[21,44,145],"explain":[22,45,146,201],"68":[23],"per":[24,28,48,149,203,214],"cent":[25,29,49,150,204,215],"42":[27],"output":[31,53],"variations":[32,153,207,218],"one":[33,57],"year":[34,58],"ahead,":[35,59],"while":[36],"term":[38,115,143],"based":[40,132],"on":[41,133],"government":[42],"debts":[43],"only":[46,147],"12":[47],"them.":[51],"For":[52,108],"forecasts":[54,94,109],"up":[55],"to":[56],"also":[64],"outperform":[65],"popular":[66],"indicators":[67],"such":[68],"as":[69],"paper-bill":[71],"spread,":[72],"federal":[73,119],"funds":[74,120],"rate,":[75,140],"consumer":[76],"sentiment":[77],"index,":[78],"Conference":[79],"Board":[80],"leading":[81],"indicator,":[82],"Standard":[85],"&":[86],"Poor's":[87],"index":[88],"both":[89,180],"in-sample":[90],"out-of-sample.":[92],"are":[99],"more":[100],"accurate":[101],"than":[102],"those":[103],"spreads.":[107,125],"beyond":[110],"one-year":[112],"horizon,":[113],"rate":[121],"dominate":[122],"author":[127],"finds":[128],"that":[129,166,190],"linear":[130],"models":[131,200],"stock":[134],"market":[135],"movements,":[136],"risk-free":[138],"short":[139],"7":[148],"in":[154,162,183,208,219],"spread.":[157,222],"channel":[160,196],"theory":[161],"monetary":[163],"economics":[164],"suggests":[165],"functional":[168],"form":[169],"should":[170],"be":[171],"non-linear.":[172],"Statistical":[173],"tests":[174],"reject":[175],"linearity":[177],"assumption":[178],"for":[179],"favour":[184],"a":[186],"threshold":[187,199],"non-linear":[188],"specification":[189],"is":[191],"consistent":[192],"with":[193],"theory.":[197],"63":[202],"75":[213]},"counts_by_year":[{"year":2021,"cited_by_count":9},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}