On forecasting the term structure of credit spreads
By: by C.N.V. Krishnan, Peter H. Ritchken, and James B. Thomson
Contributors: Ritchken, Peter; Thomson, James B.; Federal Reserve Bank of Cleveland
Series: Working paper -- WP07-05; Working paper (Federal Reserve Bank of Cleveland : Online) -- WP07-05.
Publisher: Federal Reserve Bank of Cleveland
Published: 2007
Place of publication: Cleveland, Ohio]
Language: eng
Format: [electronic resource] /
Description: "Predictions of firm-by-firm term structures of credit spreads based on current spot and forward values can be improved upon by exploiting information contained in the shape of the credit-spread curve.  However, the current credit-spread curve is not a sufficient statistic for predicting future credit spreads; the explanatory power can be increased further by exploiting information contained in the shape of the riskless-yield curve.  In the presence of credit-spread and riskless factors, other macroeconomic, marketwide, and firm-specific risk variables do not significantly improve predictions of credit spreads.  Current credit-spread and riskless-yield curves impound essentially all marketwide and firm-specific information necessary for predicting future credit spreads"--Federal Reserve Bank of Cleveland web site.
Notes: Title from PDF file as viewed on 10/29/2007.

Includes bibliographical references.

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Mode of access: World Wide Web.