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dc.contributor.authorMcMillan, Daviden_UK
dc.description.abstractWe consider whether government bonds, through the term structure, or corporate bonds, through the default yield, provide predictive power for output, consumption and investment growth in the US. Such predictive power will allow policy-makers to use the information as a leading indicator for macroeconomic performance and will improve our understanding of the links between real and financial markets. Full sample results suggest that both interest rate series exhibit predictive power for each of the macroeconomic growth series. Time-variation in the predictive coefficient reveals the waning influence of the term structure and the rising influence of the default yield. Forecast results, which are obtained from a rolling window approach, likewise suggest both series have information content for macroeconomic conditions, but there is a change in their relative strengths. These results may arise as interest rates have declined since the highs of the early to mid-1980s thus reducing the information content of government yields, whereas corporate bonds respond more to investor views of macroeconomic risk, which affects a firm’s ability to repay its debt. Furthermore, short-term rates are largely held unprecedently low since the dotcom crash.en_UK
dc.relationMcMillan D (2023) Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?. <i>International Journal of Finance and Economics</i>.en_UK
dc.rightsThis item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.subjectTerm Structureen_UK
dc.subjectDefault Yielden_UK
dc.subjectGDP Growthen_UK
dc.titleUsing Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?en_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreason[ir_ngdp.pdf] Publisher requires embargo of 24 months after publication.en_UK
dc.citation.jtitleInternational Journal of Finance and Economicsen_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.description.notesOutput Status: Forthcomingen_UK
dc.contributor.affiliationAccounting & Financeen_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.projectInternal Project|University of Stirling|
Appears in Collections:Accounting and Finance Journal Articles

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