Inrnaional Journal of Economics and Financ; Vol. 10, No. 6; 2018 ISSN 1916-971X E-ISSN 1916-9728 Publishd by Canadian Cnr of Scinc and Educaion Prdicing Growh Componns Unmploymn, Housing Prics and Consumpion Using Boh Govrnmn and Corpora Yild Curvs 1 Univrsiy of Haifa, Haifa, Isral Dan Saar 1 & Yossi Yagil 1 Corrspondnc: Yossi Yagil, Univrsiy of Haifa, Haifa, Isral. E-mail: dsaar02@campus.haifa.ac.il; yagil@gsb.haifa.ac.il Rcivd: April 3, 2018 Accpd: May 21, 2018 Onlin Publishd: May 25, 2018 doi:10.5539/ijf.v10n6p180 URL: hps://doi.org/10.5539/ijf.v10n6p180 Absrac In his sudy, w prdic changs in spcific sgmns of conomic growh including h unmploymn ra, h housing prics and changs in prsonal consumpion by mploying corpora and govrnmn bonds. Our hypohsis is ha h us of yild curvs of corpora bonds will improv h prdicions ovr prvious modls ha usd only h yild curvs of govrnmn bonds. Our rsuls suppor ha connion. W find ha corpora bonds sprads acually hlp prdicing h changs in boh h unmploymn ra and housing prics. W also find a significan posiiv rlaionship bwn bond sprads and fuur changs in prsonal consumpion lvls, bu h rsuls ar wakr han in h ohr wo sgmns. On addiional finding worh noing is ha govrnmn bonds ar br prdicors for h long-rm, whras corpora bonds ar br indicaors for h shor-rm. Kywords: bond yilds, housing prics, unmploymn ras, consumpion, forcasing, corpora bonds 1. Inroducion High unmploymn is on of h major concrns of cnral banks and conomic policy makrs. Sinc h rducion of h US inrs ra o is lows lvl vr following h mark crash of 2008, svral Fdral Rsrv chairmn hav usd h unmploymn ra as an indicaor for iming a possibl rurn o highr inrs ras in h blif ha a low lvl of unmploymn implis a srongr conomy. Pas rsarch by Esrlla and Hardouvlis (1991 indicad ha govrnmn bonds yild curv could provid prdicions of fuur conomic bhavior bcaus h yild curv implis fuur lvls of inrs ras. Thir work sablishd a posiiv rlaionship bwn h slop of h yild curv and h xpcd growh ra of h conomy. Saar and Yagil (2015 lar rfind and xndd his approach by adding yild curvs of corpora bonds, hrby including all sgmns of h crdi marks. In his papr, w us h yild curvs of boh govrnmn and corpora bonds o drmin whhr hy nabl us o forcas spcific characrisics of growh ha Esrlla and Hardouvlis had roubl prdicing using only h yild curv of govrnmn bonds. Ths characrisics includ h unmploymn ra, hom prics, which ar snsiiv o changs in inrs ras and h conomic oulook, and prsonal consumpion, whos growh is usually usd o masur boh h srngh of h conomy and h ovrall snimn. W hypohsiz ha using mor sgmns of h crdi marks by diffrniaing bwn govrnmn bonds yild sprads and corpora yild sprads provids us wih a br abiliy o prdic spcific aspcs of growh masurd by h indicaors discussd abov. Our rsuls, shown lar in his sudy, suppor our hypohsis. Prvious sudis ha sd how h govrnmn yild curv bhavs includ hos of Brand and Kavajcz (2004, Brardi and Torous (2005, Chun (2011, Duff and Hopkins (2011, Goynko al. (2011, Lau and Wachr (2011 and Kim and Orphanids (2012. As xplaind abov, our rsarch is basd on h works of Saar and Yagil (2015a, 2015b, 2015c ha xndd prior works by adding corpora yild curvs o h analysis. This addiion nabls us o mploy daa from h nir crdi mark in ordr o achiv mor rfind rsuls whn prdicing sgmn-spcific paramrs such as hom prics, unmploymn ra and consumpion lvls, hrby ovrcoming difficulis ncounrd in arlir sudis. Addiional paprs ha sd corpora bonds bhavior includ hos of Alman (1987, Fons (1994, Jarrow al. (1997, Duffi and Singlon (1999, Hlwg and Turnr (1999, Zhou (2001, Huang and Huang (2012 and Bar-Isaac and Shapiro (2013. In ordr o formula our hypohss, w also xamind paprs xplaining h bhavior of our dpndn variabls, including paprs in h filds of unmploymn, ral sa and prsonal consumpion such as hos by 180
Svnson and Plla (1972, Kau and Knan (1980, Harvy (1998, Papll al. (2000, Boyd al. (2005, Wachr (2006, Piazzsia al. (2007, Chang al. (2011 and Chn and Zhang (2011. Ths sudis hlpd in undrsanding how h sd variabls in our papr bhav. W find ha by using daa abou h yild curvs of corpora bonds, w can improv h forcas of h paramrs of spcific sgmns of conomic growh such as h Cas-Shillr hom prics indx, and changs in h unmploymn ra and prsonal consumpion. Th papr is dividd ino h following scions. Scion 2 discusss h hory bhind our work. Scion 3 dscribs h paramrs and h daa w mployd in h sudy. Scion 4 invsigas whhr yild curvs of corpora bonds can b hlpful whn prdicing changs in unmploymn. Scion 5 xamins whhr corpora bonds yild curvs can forcas housing pric changs. Scion 6 amps o prdic lvls of prsonal consumpion by using daa on yild curvs. Finally, Scion 7 concluds h sudy. 2. Thorical Background Sinc h 2008 crisis, svral Fdral Rsrv chairmn hav associad h rurn o normal inrs ras wih h bhavior of h labor mark and a low lvl of unmploymn. This associaion sms from h fac ha low unmploymn usually indicas a srongr conomy ha can susain a hik in inrs ras. In his scnario, long-rm bonds will provid highr yilds bcaus long-rm inrs ras will probably b highr han currn ras. Thus, i is plausibl o assum ha a conncion xiss bwn bond yilds and macroconomic paramrs. Indd, ld by Esrlla and Hardouvlis, prvious sudis hav sablishd h rlaionship bwn h yild curv of govrnmn bonds and macroconomic paramrs ha prdic conomic growh. Th rsarchrs dmonsra ha h slop of h yild curv of govrnmn bonds, dnod as h sprad bwn long-rm yilds and shor-rm yilds, has a posiiv rlaionship wih fuur growh. Nvrhlss, rsarchrs hav found i difficul o prdic spcific sgmns of conomic growh such as prsonal consumpion. W bliv ha hs difficulis sm from h us of only som of h componns of h crdi mark. Rcn sudis by Saar and Yagil mployd h corpora yild curv as an xplanaory variabl as wll, hrby using h nir crdi mark in succssfully forcasing conomic bhavior and vn spcific scor bhavior. W s our hypohss formulad lar in his sudy using daa from h US mark from Ocobr 2002 o Dcmbr 2016. Thus, by mploying boh h govrnmn and corpora yild curvs, and du o h rlaionship bwn fuur inrs ras and our xplaind variabls including h unmploymn ra, housing prics and prsonal consumpion, w claim ha yild curvs can also hlp forcasing spcific sgmns of conomic growh. Our rsuls, shown lar in his sudy, suppor our argumn. Whil on could argu ha ohr paramrs migh affc our xplaind variabls, h main focus of h papr is o chck whhr h yild sprads of corpora and govrnmn bonds can hlp in prdicing fuur bhavior of spcific sgmns of h conomy. 3. Daa Dscripion 3.1 Daa In our sudy, w us h composi yild curvs of corpora and govrnmn bonds. Our daa sourc is Bloombrg, considrd on of h mos advancd daa supplirs, providing boh rliabl and consisn daa from Ocobr 2002 o Dcmbr 2016. Th curvs w us ar prcivd as opion-fr bcaus hy consis of mak-whol callabl bonds alon, which limina prpaymn risks (Fabozzi, 2005. This yp of callabl bonds limina h prpaymn risk bcaus h call involvs an addiional paymn. In accordanc wih Chun (2011, o achiv coninuous rsuls, w collcd daily yild curv daa and calculad h avrag for ach monh. Tabl 1 includs saisical informaion rgarding h variabls w usd mos in his papr. Tabl 1. Dscripiv saisics of bond yilds and macroconomic paramrs N Minimum Maximum Man Sd. Dviaion Sprad( (% 171-0.478 3.703 2.049 1.078 Sprad( (% 171-0.252 1.124 0.592 0.331 Sprad(BBB (% 171-0.500 0.408 0.073 0.200 Unmploymn (% 171 4.400 10.000 6.502 1.749 Cas-Shillr Hom Prics Indx 171 133.550 206.520 166.072 22.584 Prsonal Consumpion Exp. (Bil. $ 171 7,469 12,457 10,234 1,476 No. Daa was collcd using Bloombrg s fair mark opion-fr yild curvs. Th daa is availabl from 2002 o 2016 for mos bonds. Th sprads dnod in h abl ar h mos rlvan bond sprads usd in h sudy. 181
3.2 Mhodology Through rgrssion modls, w uiliz bond sprads o prdic spcific conomic indicaors such as h unmploymn ra, housing prics and prsonal consumpion. Th following ar h xplanaory variabls w us in our modls: Sprad( is h yild sprad on US govrnmn bonds. I is dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr and a 3-monh govrnmn bond (Y( (0.25Yr : Sprad Y( Y(. (1 ( ( 10Yr (0.25Yr In ordr o disinguish bwn h prdiciv abiliy of h yild sprad on US govrnmn bonds and ha of corpora bonds, w also calcula hs paramrs: ToSprad( is calculad by subracing h yild o mauriy on 3-monh A-rad corpora bonds from h yild o mauriy on 10-yar A-rad corpora bonds. As a rsul, h A ToSpad is: ToSprad ( Y( ( 10Yr Y( (0.25Yr. MarSprad( is calculad by subracing h Toalsprad of bonds wih a raing ha is on lvl highr from h ToSprad of h invsigad raing. This variabl nabls us o nuraliz h ffc of highr rad bonds. For xampl, h marginal sprad on A-rad bonds is as follows: MarSprad ( ToSprad ( Sprad (. (3 Ths variabls ar consisn wih hos ha Saar and Yagil usd in xnding prvious sudis. Daa for h AA raing is only availabl unil 2011. As a rsul, w us A as h highs corpora bond raing. Whn making our iniial adjusmns, w also sd AA daa unil 2011 and found similar rsuls. This phas dmonsras h robusnss of our rsuls shown lar in his sudy. In ordr o chck h ffc of xplanaory variabls of im (h currn im on macroconomic paramrs a im +k w lag h xplanaory variabls by k which is h prdicion horizon. Using his mhod, w can invsiga whhr h xplanaory variabls acually hlp forcasing spcific fuur conomic indicaors. In our sudy, w us forcasing horizons of 1 o 36 monhs o chck boh shor-rm and long-rm prdicions. By using monhly daa, w achiv mor accura rsuls han prvious paprs ha usually us quarrly daa. 4. Can Corpora and Govrnmn Yild Curvs Forcas Changs in Unmploymn? W argu ha using h nir crdi mark by considring boh h corpora bonds and govrnmn bonds yild curvs w can improv h prdicion of unmploymn ras. Thus, w posi ha: H1: Employing corpora and govrnmn yild curvs allows us o forcas upcoming changs in unmploymn. 4.1 Dfiniions Th firs xplaind variabl dfind in his scion is UnmploymnChg, which is h prcnag monhly chang in h unmploymn ra. This variabl nabls o invsiga whhr h xplanaory variabls can prdic a spcific prcnag chang in unmploymn. Th scond variabl in his scion is a dummy paramr ha gs h valu 1 if h unmploymn ra dclind in h currn monh, and 0 ohrwis. This variabl indicas whhr h sa of h labor mark has improvd or driorad. 4.2 Tsing h Hypohsis: Esimad Equaions and Findings for H1 Pas paprs indicad ha mploying h corpora yild curvs as financial prdicors can improv GDP prdicions. W suggs ha h addiion of corpora yild curvs can also assis us in prdicing spcific sgmns of conomic growh such as labor mark rnds. Th quaion (Eq. 4, srivs o forcas h monhly chang in unmploymn by using h sprads dfind abov: whr, Unmploym nchg k Sprad MarSprad (, 0 1 ( 2 Unmploym nchg is h monhly prcnag chang in unmploymn. k (2 (4 182
Tabl 2. Prdicd monhly changs in h US unmploymn ra basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 R 2 F Sig. n 1 0.012 2.354 0.003 1.743-0.033-4.923 0.165 12.126 0.000 170 3 0.015 3.097 0.002 1.367-0.035-4.892 0.185 12.762 0.000 168 6 0.018 2.908 0.000 0.020-0.032-3.858 0.164 9.062 0.000 165 9 0.022 2.558-0.003-1.450-0.031-2.745 0.188 6.345 0.002 162 12 0.024 2.278-0.005-2.323-0.027-2.366 0.194 4.729 0.010 159 15 0.027 2.349-0.007-2.607-0.022-2.618 0.208 4.499 0.013 156 18 0.027 2.904-0.009-3.124-0.015-2.443 0.228 6.805 0.001 153 21 0.027 3.785-0.010-3.137-0.011-1.711 0.246 11.183 0.000 150 24 0.026 3.843-0.010-3.266-0.009-1.007 0.234 9.943 0.000 147 30 0.023 2.429-0.009-3.375-0.007-0.838 0.184 6.259 0.003 141 36 0.018 1.449-0.006-3.108-0.009-0.805 0.106 4.876 0.009 135 No. Esimad modl, Eq. 4: UnmploymnChg, whr UnmploymnChg is h monhly k 0 1Sprad( G 2MarSprad( prcnag chang in h US unmploymn ra, Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y((10Yr( and a 3-monh govrnmn bond (Y((0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad( ToSprad( Sprad( G Th corrlaion bwn Sprad( and MarSprad( is 0.24. Tabl 2 prsns h findings for Eq. 4. Whn w sima an OLS rgrssion, h lagging of h daa cras a moving avrag rror of ordr k-1. In ordr o corrc his rror, w usd h Nwy-Ws mhod which nabls o adjus h crad rrors by using h lag lngh of k-1 du o h rror ha was crad. Th rsuls of his rgrssion indica ha h yild curvs can forcas monhly movmns in h US unmploymn ra, bcaus h rgrssion quaion is significan for all forcasing horizons. Thr is a significan ngaiv rlaionship bwn h yild curv sprads and a ris in unmploymn. In ohr words, whn h sprads incras, h fuur unmploymn ra is xpcd o b lowr. Th rsuls w find ar in lin wih our assumpions, bcaus, as xplaind in h horical background scion of h sudy, widr sprads ar rlad o highr fuur growh, indicaing lowr unmploymn. Anohr inrsing finding ha accords wih Saar and Yagil s prvious rsuls is ha corpora bond sprads ar br a prdicing shor-rm macroconomic paramrs, whras govrnmn bond sprads ar br a prdicing long-rm macroconomic paramrs. To s our hypohsis furhr, w xnd h prvious quaion o h following: Unmploym nchg k 0 1Sprad ( 2MarSprad ( I 3MarSprad ( HY. (5 This quaion considrs h nir crdi mark, dividing i ino hr commonly usd cagoris: govrnmn bonds, invsmn grad bonds (rad A and BBB and high yild bonds (rad BB and B. W bliv ha by using h nir crdi mark w can achiv h mos accura rsuls. Tabl 3. Prdicd monhly changs in h US unmploymn ra basd on US govrnmn sprads and marginal sprads of invsmn grad US corpora bonds rad A and BBB, and high yild US corpora bonds rad BB and B, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 β 3 β3 R 2 F Sig. n 1 0.024-1.425-0.001-0.356-0.038-4.619-0.002-1.425 0.209 9.801 0.000 170 3 0.026-1.575-0.002-1.075-0.038-4.495-0.002-1.575 0.213 9.569 0.000 168 6 0.030-2.057-0.004-2.930-0.039-4.032-0.003-2.057 0.202 9.618 0.000 165 9 0.034-1.337-0.006-3.834-0.038-2.843-0.002-1.337 0.240 7.784 0.000 162 12 0.037-1.564-0.008-3.639-0.036-3.056-0.002-1.564 0.260 6.393 0.000 159 15 0.033-0.443-0.009-3.084-0.024-2.538-0.001-0.443 0.233 5.007 0.002 156 18 0.031 0.524-0.010-3.967-0.017-2.682 0.001 0.524 0.258 8.014 0.000 153 21 0.029 0.868-0.011-4.528-0.010-1.269 0.001 0.868 0.265 11.136 0.000 150 24 0.024 1.278-0.010-4.517-0.003-0.365 0.002 1.278 0.248 7.914 0.000 147 30 0.021 0.801-0.009-3.684-0.002-0.213 0.002 0.801 0.190 4.843 0.003 141 36 0.012 0.690-0.006-2.469 0.003 0.260 0.002 0.690 0.099 3.169 0.027 135 No. Esimad modl, Eq. 5: UnmploymnChg, whr UnmploymnChg k 0 1Sprad( G 2MarSprad( I 3MarSprad( HY is h monhly prcnag chang in h US unmploymn ra, Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr, MarSprad(I and MarSprad(HY ar h marginal invsmn grad and high yild sprads calculad by: MarSprad( I ToSprad( I Sprad( G MarSprad( HY ToSprad( HY ToSprad( I Th corrlaion cofficins for h hr xplanaory variabls ar: -0.05, -0.19, -0.69 for h following hr pair corrlaions, rspcivly: Sprad(-MarSprad(I,Sprad(-MarSprad(HY and MarSprad(I-MarSprad(HY. 183
Indd, h findings in Tabl 3 illusra ha h addiion of high yild bonds improvs h prdicion of changs in h unmploymn ra. This abl also shows a ngaiv rlaionship bwn h sprads and h changs in unmploymn. Howvr, an inrsing phnomnon appars as h prdicion valu of high yild bonds is no significan for mos forcasing horizons. Th comparison bwn Tabls 2 and 3 indicas ha using h nir crdi mark improvs h prdicion, bcaus h significanc of h rgrssion is srongr for mos forcasing horizons. In addiion, as w saw arlir, govrnmn bonds ar prdicing br for long-rm prdicions as opposd o corpora bonds ha ar br for shor-rm forcasing. Ths rsuls confirm H1, bcaus w dmonsra ha h yild curv sprads can forcas movmns in unmploymn. As w xplaind arlir, invsors hink ha h Fdral Rsrv will incras inrs ras whn h conomy is xpcd o improv (maning a lowr unmploymn ra, and hir xpcaions spn h yild curvs. On h conrary, whn h conomy is in disrss, h Fdral Rsrv is xpcd o lowr ras flaning h curvs. By using h slops of h curvs of h nir crdi mark, w us h basic yild lvls ha ar implici in h slops. Our final rgrssion in his scion amps o prdic whhr h unmploymn ra dclins in h subsqun monh: Unmploym ndc k 1Sprad( 2MarSprad( 1Sprad( 2MarSprad(. 1 (6 Tabl 4. Prdicd monhly dcras in h US unmploymn ra basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 Wald β0 β 1 Wald β1 β 2 Wald β2 Cox&SnllR 2 Chi 2 Sig. n 1-0.808-1.947-0.139-0.914 1.252 2.382 0.027 6.197 0.045 170 3-0.996-2.342-0.128-0.838 1.551 2.863 0.040 9.091 0.011 168 6-1.155-2.675-0.002-0.012 1.400 2.637 0.036 8.038 0.018 165 9-1.332-3.020 0.069 0.438 1.504 2.809 0.046 10.113 0.006 162 12-1.443-3.222 0.142 0.889 1.411 2.630 0.047 10.240 0.006 159 15-1.496-3.308 0.143 0.889 1.427 2.623 0.048 10.263 0.006 156 18-1.533-3.354 0.289 1.761 0.984 1.878 0.045 9.282 0.010 153 21-1.646-3.506 0.393 2.326 0.803 1.549 0.053 10.885 0.004 150 24-1.476-3.203 0.383 2.290 0.518 1.015 0.042 8.436 0.015 147 30-1.417-3.050 0.462 2.706 0.103 0.203 0.047 8.960 0.011 141 36-1.207-2.683 0.389 2.342 0.007 0.014 0.034 6.280 0.043 135 No. Esimad modl, Eq. 6: Unmploym ndc k 1Sprad( 2MarSprad( 1Sprad( 2MarSprad(, whr UnmploymnDc rcivs h 1 valu of 1 whn h unmploymn ra in h currn monh is lowr han ha of h prvious monh, and 0 ohrwis. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad ( ToSprad ( Sprad ( Th corrlaion bwn Sprad( and MarSprad( is 0.24. Th rsuls prsnd in Tabl 4 indica ha h yild curv sprads can acually forcas a dclin in unmploymn. W should no ha for his rgrssion h conncion bwn h xplanaory and xplaind variabls is posiiv, bcaus in conras o h prvious rgrssions, hr h xplaind variabl srvs as a good sign for h conomy, rflcing a dcras in unmploymn. Th prvious findings abou h us of yild curvs of govrnmn bonds for long-rm prdicions and h us of yild curvs of corpora bonds for shor-rm prdicions ar vidn hr as wll. In ordr o valida our rsuls vn furhr w prformd an ou-of-sampl analysis of h firs linar rgrssions w simad in his papr. To conduc such an analysis, w firs had o dfin a propr simaion priod which was dfind from h saring poin unil h nd of 2010 whil h ohr obsrvaions wr dfind as h prdicion priod. Using his mhod w can compar our modl s forcass wih h ral daa from h prdicion priod. Th ou-of-sampl analysis for his scion is prsnd in Figur 1. 184
Figur 1. Ou-of-sampl forcasd monhly changs in US unmploymn ra basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 Modl Numbr of Prdicors Modl Fi saisics Ljung-Box Q(18 Saionary R-squard Saisics DF Sig. Numbr of Oulirs UmploymnChg 2 0.215 37.227 18 0.005 0 No. Th daa was dividd ino an simaion priod (10/2002 12/2010 and a prdicion priod (1/2011 12/2016. By mploying wo of h simad prdicors, Sprad( 3 and MarSprad( 3, w forcasd h xpcd valus for h prdicion priod, and compard hm wih h obsrvd valus. Th RMSE of his comparison is 0.025. This analysis yilds a vry small RMSE, cmning h ffciv prdicion of h fuur unmploymn ra. Th various diffrn ools w us indica h robusnss of our rsuls which confirms our firs hypohsis saing ha corpora and govrnmn sprads can forcas fuur changs in unmploymn. 5. Prdicing Changs in Housing Prics Using Sprads of Govrnmn and Corpora Bonds Turning o h ral sa mark, w now ry o forcas fuur changs in housing prics. Alhough low inrs ras ar corrlad wih high housing prics, w suggs ha largr sprads indicaing a fuur ris in inrs ras forll an upcoming ris in housing prics bcaus of h improvmn of h conomy and h incras in disposabl incom. Thus, w posi ha: H2: Highr corpora and govrnmn bond sprads indica an upcoming ris in housing prics. 5.1 Dfiniions In ordr o masur housing prics, w us h S&P/Cas-Shillr Hom Prics Indx, which is a commonly usd proxy for masuring housing prics. Th firs xplaind variabl dfind in his scion is CasShillrYoYChg, which is h prcnag yarly chang in h Cas-Shillr Indx. This variabl allows us o invsiga whhr h xplanaory variabls can prdic a spcific prcnag chang in housing prics. Th scond variabl in his scion is CasShillrMoMChg indicaing h monhly chang in h Cas-Shillr Indx. Th las variabl w dfin for his scion is a paramr ha gs h valu 1 whn h Cas-Shillr Indx riss in h currn monh compard wih h corrsponding monh in h prvious yar. This variabl indicas if h housing mark has improvd or driorad. 5.2 Tsing h Hypohsis: Esimad Equaions and Findings for H2 Th firs rgrssion quaion (Eq. 7 in his scion amps o prdic h yarly chang in housing prics by using h govrnmn sprad and h marginal sprad: CasShillrYoYChg k 0 1Sprad ( 2MarSprad (. (7 185
Tabl 5. Prdicd yarly changs in h S&P/cas-shillr hom prics indx basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 R 2 F Sig. n 1-0.043-2.688-0.010-1.732 0.128 5.650 0.190 15.997 0.000 170 3-0.062-2.167-0.003-0.353 0.134 3.603 0.215 6.654 0.002 168 6-0.082-2.011 0.007 0.548 0.133 2.804 0.242 4.178 0.017 165 9-0.100-2.023 0.018 1.211 0.122 2.413 0.270 3.321 0.039 162 12-0.115-2.180 0.028 1.698 0.110 2.173 0.316 3.117 0.047 159 15-0.129-2.526 0.037 2.104 0.096 2.132 0.379 3.482 0.033 156 18-0.142-3.310 0.045 2.446 0.088 2.353 0.464 4.846 0.009 153 21-0.152-4.525 0.049 2.688 0.088 2.816 0.534 8.049 0.000 150 24-0.158-5.350 0.050 2.958 0.089 2.789 0.579 11.363 0.000 147 30-0.155-3.489 0.042 3.200 0.107 3.029 0.559 8.181 0.000 141 36-0.144-2.935 0.028 3.175 0.131 4.043 0.501 8.199 0.000 135 No. Esimad modl, Eq. 7: CasShillrYoYChg, whr CasShillrYoYChg is h ral chang k 0 1Sprad( G 2MarSprad( in h Cas-Shillr Indx compard wih h corrsponding monh in h prvious yar. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad ( ToSprad ( Sprad ( Th corrlaion bwn Sprad( and MarSprad( is 0.24. Th rsuls for his quaion ar shown in Tabl 5, which indicas ha h rgrssion is significan for all of h forcasd horizons. As suspcd, w found a significan posiiv rlaionship bwn yild curv sprads and a ris in housing prics. This finding is in lin wih our connion discussd abov, bcaus largr sprads ar rlad o highr fuur growh, indicaing ha consumrs hav mor disposabl incom wih which o buy houss a highr prics. Hr oo, w can s ha corpora bonds ar br a prdicing shor-rm changs in housing prics, and govrnmn bonds ar br a prdicing long-rm housing prics. As w did in h prvious scion, o invsiga our hypohsis furhr w xnd h prvious quaion o h following: CasShillrYoYChg Sprad MarSprad ( I MarSprad ( HY. (8 k 0 1 ( 2 3 This quaion rvals h prdiciv abiliis of h nir crdi mark rgarding fuur housing prics. Th rsuls shown in Tabl 6 rira h prvious findings shown in Tabl 5. Tabl 6. Prdicd yarly changs in h S&P/cas-shillr hom prics indx basd on US govrnmn sprads and marginal sprads of invsmn grad US corpora bonds rad A and BBB, and high yild US corpora bonds rad BB and B, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 β 3 β3 R 2 F Sig. n 1-0.102 0.544 0.003 0.645 0.166 6.873 0.003 0.544 0.387 47.535 0.000 170 3-0.122 0.294 0.010 1.203 0.173 4.504 0.002 0.294 0.434 23.366 0.000 168 6-0.138-0.005 0.019 1.537 0.166 3.436 0.000-0.005 0.465 15.159 0.000 165 9-0.147-0.217 0.027 1.782 0.149 2.863-0.003-0.217 0.479 10.549 0.000 162 12-0.156-0.346 0.035 2.053 0.135 2.690-0.004-0.346 0.510 9.224 0.000 159 15-0.161-0.507 0.043 2.385 0.116 2.731-0.006-0.507 0.542 9.735 0.000 156 18-0.167-0.649 0.050 2.836 0.100 2.799-0.007-0.649 0.593 12.305 0.000 153 21-0.169-0.681 0.054 3.346 0.087 2.322-0.006-0.681 0.615 15.609 0.000 150 24-0.168-0.508 0.055 3.831 0.077 1.592-0.005-0.508 0.614 15.063 0.000 147 30-0.155-0.177 0.050 3.529 0.072 1.186-0.002-0.177 0.507 6.858 0.000 141 36-0.139 0.002 0.039 2.653 0.079 1.476 0.000 0.002 0.354 8.854 0.000 135 No. Esimad modl, Eq. 8: CasShillrYoYChg k 0 1Sprad( G 2MarSprad( I 3MarSprad( HY, whr CasShillrYoYChg is h ral chang in h Cas-Shillr Indx compard wih h corrsponding monh in h prvious yar. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr, MarSprad(I and MarSprad(HY ar h marginal invsmn grad and high yild sprads calculad by: MarSprad ( I ToSprad ( I Sprad (, MarSprad ( HY ToSprad ( HY ToSprad ( I Th corrlaion cofficins for h hr xplanaory variabls ar: -0.05, -0.19, -0.69 for h following hr pairs of corrlaions, rspcivly: Sprad(-MarSprad(I,Sprad(-MarSprad(HY and MarSprad(I-MarSprad(HY. 186
Hr oo, Tabl 6 indicas ha h addiion of high yild bonds dos no improv h prdicion marially, bcaus hy do no dmonsra a significan rlaionship wih fuur housing prics. In ordr o chck our rsuls from anohr angl w us h following logisic rgrssion simaing a prdicd ris in housing prics: CasShillrYoYRis k 1Sprad( 2MarSprad( 1Sprad( 2MarSprad( Tabl 7. Prdicd yarly incrass in h S&P/cas-shillr hom prics indx basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 Wald β0 β 1 Wald β1 β 2 Wald β2 Cox&SnllR 2 Chi 2 Sig. n 1-0.249-0.610-0.099-0.648 1.703 3.233 0.051 11.337 0.003 170 3-0.606-1.475 0.009 0.060 1.907 3.550 0.067 14.888 0.001 168 6-1.075-2.532 0.117 0.751 2.301 4.083 0.104 22.859 0.000 165 9-1.339-3.096 0.257 1.622 2.213 3.950 0.118 25.480 0.000 162 12-1.506-3.421 0.374 2.294 2.042 3.666 0.126 26.883 0.000 159 15-1.690-3.731 0.494 2.933 1.877 3.391 0.139 29.327 0.000 156 18-2.336-4.603 0.699 3.748 2.213 3.793 0.212 43.911 0.000 153 21-3.137-5.325 0.796 3.842 3.208 4.776 0.313 63.934 0.000 150 24-3.467-5.538 0.768 3.608 3.815 5.152 0.359 72.089 0.000 147 30-3.392-5.601 0.486 2.486 4.594 5.442 0.372 72.190 0.000 141 36-5.816-5.353-0.029-0.131 10.906 4.868 0.608 113.491 0.000 135. 1 (9 No. Esimad modl, Eq. 9: CasShillrYoYRis k 1Sprad( 2MarSprad( 1Sprad( 2MarSprad(, whr CasShillrYoYRis rcivs h valu of 1 1 whn h Cas-Shillr Indx valu in h currn monh is highr han ha of h corrsponding monh in h prvious yar, and 0 ohrwis. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad ( ToSprad ( Sprad ( Th corrlaion bwn Sprad( and MarSprad( is 0.24. Th rsuls prsnd in Tabl 7 confirm our prvious findings showing ha govrnmn and corpora bond sprads can prdic a ris in housing prics. Th rgrssion is significan for all forcasing horizons, indicaing a vry srong rlaionship bwn govrnmn and corpora bond sprads and a ris in h Cas-Shillr Indx. Th final rgrssion w sima in his scion ss h prdiciv abiliy of h sprads whn forcasing monhly changs in h housing pric indx rahr han yarly changs sd so far in his sudy: CasShillrMoMChg k 0 1Sprad ( 2MarSprad (. (10 Tabl 8. Prdicd monhly changs in h S&P/Cas-Shillr Hom Prics Indx Basd on US Govrnmn Sprads and Marginal Sprads of A-Rad US Corpora Bonds, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 R 2 F Sig. n 1-0.009-4.337 0.001 1.535 0.012 4.037 0.163 11.582 0.000 170 3-0.009-2.935 0.001 1.548 0.012 2.478 0.163 5.387 0.005 168 6-0.010-2.304 0.002 1.687 0.009 2.014 0.156 3.402 0.036 165 9-0.011-2.458 0.003 1.659 0.009 2.138 0.186 3.770 0.025 162 12-0.013-3.201 0.004 2.616 0.008 1.854 0.268 4.667 0.011 159 15-0.014-4.241 0.005 3.255 0.006 1.520 0.317 6.907 0.001 156 18-0.014-4.077 0.005 2.842 0.007 1.556 0.304 7.491 0.001 153 21-0.014-3.431 0.004 2.232 0.009 2.236 0.284 7.719 0.001 150 24-0.014-3.282 0.004 2.941 0.008 2.541 0.297 7.111 0.001 147 30-0.013-2.190 0.002 2.052 0.012 2.846 0.235 4.050 0.020 141 36-0.011-2.953 0.002 1.235 0.011 3.367 0.178 10.646 0.000 135 No. Esimad modl, Eq. 10: CasShillrMoMChg k 0 1Sprad( G 2MarSprad(, whr CasShillrMoMChg is h ral chang in h Cas-Shillr Indx compard wih h prvious monh. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad( ToSprad( Sprad( G Th corrlaion bwn Sprad( and MarSprad( is 0.24. 187
Th rsuls in Tabl 8 ar similar o hos in h prvious rgrssions, indicaing ha govrnmn and corpora bond sprads can prdic monhly changs in housing prics ffcivly. Th rsuls ar significan for all forcasd horizons, confirming H2. As w suggsd arlir, h spr h yild curvs ar, h highr fuur housing prics ar xpcd o b. Ths rsuls ar in lin wih h conncion bwn spr curvs and br fuur conomic growh ha incrass h disposabl incom of consumrs, nabling hm o pay mor for housing. Hr oo, as in h prvious scion, w prformd an ou-of-sampl analysis of a linar rgrssion w simad. Our ou-of-sampl analysis consiss of h las rgrssion for his scion, which simas monhly changs in housing prics. As bfor, h priod from h sar of h daa unil h nd of 2010 was dfind as h simaion priod. Th rs of h obsrvaions wr dfind as h prdicion priod. Th ou-of-sampl analysis for his scion is prsnd in Figur 2. Figur 2. Ou-of-sampl forcasd yarly changs in h S&P/cas-shillr hom prics indx basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 Modl Numbr of Prdicors Modl Fi saisics Ljung-Box Q(18 Saionary R-squard Saisics DF Sig. Numbr of Oulirs CasShillrYoYChg 2 0.361 764.962 18 0.000 0 No. Th daa was dividd ino an simaion priod (10/2002 12/2010 and a prdicion priod (1/2011 12/2016. By mploying wo of h simad prdicors, Sprad( 3 and MarSprad( 3, w forcasd h xpcd valus for h prdicion priod, and compard hm wih h obsrvd valus. Th RMSE of his comparison is 0.092. Th ou-of-sampl analysis provids a vry low RMSE indicaing is significanc, srnghning our noion ha h modls w prsn ar indd ffciv whn forcasing housing prics for boh h in-sampl and ou-of-sampl prdicions. 6. Can Corpora and Govrnmn Yild Curvs Prdic Changs in Consumpion Expndiurs? W invsiga our final qusion by simaing wo rgrssion quaions ha link h bond sprads o prsonal consumpion, which is a main componn of conomic growh. W posi ha: H3: Changs in prsonal consumpion can b prdicd using h yild sprads of govrnmn and corpora bonds. 6.1 Dfiniions For his scion, w dfin wo xplaind variabls. PCEYoYChg is h ral prcnag chang in prsonal consumpion xpndiurs compard wih h corrsponding monh in h prvious yar. This variabl allows us o chck if prsonal consumpion has xpandd or shrunk his yar. Th scond variabl is PCEMoMChg, which is h ral prcnag chang in prsonal consumpion xpndiurs compard wih h prvious monh, allowing us o drmin whhr prsonal consumpion has xpandd or shrunk his monh. 6.2 Tsing of h Hypohsis: Esimad Equaions and Findings for H3 Equaion 11 uss h sprads on boh govrnmn and corpora bonds o prdic yarly changs in prsonal consumpion. 188
PCEYoYChg k 0 1Sprad ( 2MarSprad (. (11 Th rsuls of h rgrssion in Tabl 9 indica ha boh yild curv sprads can forcas fuur movmns in prsonal consumpion, bcaus h rgrssion is significan for mos of h forcasing horizons. Tabl 9. Prdicd yarly changs in prsonal consumpion xpndiurs basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 R 2 F Sig. n 1 0.015 6.905-0.004-3.654 0.019 4.782 0.175 11.913 0.000 170 3 0.011 3.096-0.003-1.687 0.022 3.317 0.205 5.587 0.004 168 6 0.007 1.212-0.001-0.462 0.024 2.659 0.238 4.022 0.020 165 9 0.003 0.325 0.001 0.638 0.022 2.184 0.252 3.041 0.051 162 12 0.000-0.046 0.004 1.418 0.019 1.765 0.280 2.529 0.083 159 15-0.001-0.124 0.005 2.092 0.014 1.385 0.287 2.401 0.094 156 18-0.003-0.235 0.007 2.570 0.010 1.194 0.341 3.500 0.033 153 21-0.003-0.331 0.008 2.680 0.008 1.071 0.384 3.746 0.026 150 24-0.004-0.511 0.008 2.626 0.006 0.877 0.431 3.738 0.026 147 30-0.004-0.644 0.008 2.374 0.007 0.836 0.430 4.446 0.013 141 36-0.002-0.233 0.005 1.758 0.013 1.311 0.307 2.208 0.114 135 No. Esimad modl, Eq. 11: PCEYoYChg k Sprad G MarSprad(., whr PCEYoYChg is h ral chang in prsonal 0 1 ( 2 consumpion xpndiurs compard wih h corrsponding monh in h prvious yar. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad ( ToSprad ( Sprad ( Th corrlaion bwn Sprad( and MarSprad( is 0.24. As in h prvious scions, hr oo, h marginal corpora bond sprad is mor fficin in forcasing movmns in prsonal consumpion for h shor-rm, whras h govrnmn bond sprad is br a prdicing changs in prsonal consumpion in h long-rm. In addiion, w find a posiiv rlaionship bwn h sprads and fuur consumpion, which is no surprising givn ha consumpion is an imporan par of conomic growh. Prvious sudis hav shown a posiiv conncion bwn h growh ra and h bond sprads. Our rsuls suppor hs prvious findings and also shd mor ligh on h yild curvs abiliy o forcas fuur conomic bhavior. Th las rgrssion w sima in his sudy is similar o h prvious on in which h xplaind variabl is h monhly chang in prsonal consumpion: PCEMoMChg Sprad MarSprad (. (12 k 0 1 ( 2 Tabl 10. Prdicd monhly changs in prsonal consumpion xpndiurs basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 k β 0 β0 β 1 β1 β 2 β2 R 2 F Sig. n 1 0.001 0.809 0.000-0.324 0.002 2.649 0.039 3.706 0.027 170 3 0.000 0.087 0.000 0.271 0.002 2.762 0.053 4.650 0.011 168 6 0.000 0.003 0.000 1.654 0.002 1.614 0.042 2.962 0.055 165 9 0.000-0.323 0.001 2.262 0.001 1.460 0.054 2.945 0.055 162 12 0.000-0.272 0.001 2.292 0.001 1.070 0.054 2.787 0.065 159 15 0.000-0.082 0.001 1.819 0.001 0.824 0.045 1.770 0.174 156 18 0.000-0.620 0.001 2.524 0.001 1.111 0.069 3.487 0.033 153 21 0.000-0.586 0.001 2.456 0.001 0.823 0.072 3.827 0.024 150 24 0.000-0.527 0.001 2.096 0.001 0.765 0.062 3.847 0.024 147 30 0.000-0.146 0.000 1.357 0.001 0.893 0.044 1.606 0.204 141 36 0.000-0.013 0.000 0.844 0.002 2.286 0.055 2.672 0.073 135 "No. Esimad modl, Eq. 12: PCEMoMChg k 0 1Sprad( G 2MarSprad(., whr PCEMoMChg is h ral chang in prsonal consumpion xpndiurs compard wih h prvious monh. Sprad( is h US govrnmn yild sprad, dfind as h diffrnc bwn h yild o mauriy of a 10-yar govrnmn bond (Y( (10Yr( and a 3-monh govrnmn bond (Y( (0.25Yr and MarSprad( is h marginal corpora yild sprad calculad by: MarSprad ( ToSprad ( Sprad ( Th corrlaion bwn Sprad( and MarSprad( is 0.24. 189
Th rsuls of his rgrssion, shown in Tabl 10, indica wakr rsuls han hos of h prvious rgrssion. This rsul migh b du o sasonal changs in consumpion. Howvr, in half of h cass h rgrssion is significan, implying ha h bond sprads can also prdic monhly changs in consumpion. Whn comparing h rsuls of h diffrn scions in his sudy, anohr inrsing finding mrgs. Yild curvs ar bs a forcasing upcoming changs in h unmploymn ra and waks a forcasing changs in prsonal consumpion. Finally, w prformd an ou-of-sampl analysis for h prvious rgrssion, which simas yarly changs in prsonal consumpion. Hr oo, w dfind h simaion priod from h sar of h daa unil h nd of 2010. Obsrvaions from 2011 o 2016 wr dfind as h prdicion priod. Th ou-of-sampl analysis for his scion is prsnd in Figur 3. Modl Figur 3. Ou-of-sampl forcasd yarly changs in prsonal consumpion xpndiurs basd on US govrnmn sprads and marginal sprads of A-Rad US corpora bonds, 10/2002-12/2016 Numbr of Prdicors Modl Fi saisics Ljung-Box Q(18 Saionary R-squard Saisics DF Sig. Numbr of Oulirs PCEYoYChg 2 0.479 456.631 18 0.000 0 No. Th daa was dividd ino an simaion priod (10/2002 12/2010 and a prdicion priod (1/2011 12/2016. By mploying wo of h simad prdicors, Sprad( 3 and MarSprad( 3, w forcasd h xpcd valus for h prdicion priod, and compard hm wih h obsrvd valus. Th RMSE of his comparison is 0.014. This analysis provids a vry low RMSE signaling h significanc of h rsuls w obaind in h prvious rgrssions. Our findings conribu o h undrsanding ha govrnmn and corpora bond sprads can forcas spcific sgmns of conomic growh such as h unmploymn ra, housing prics and prsonal consumpion. 7. Concluding Rmarks This sudy has invsigad whhr prvious findings indicaing ha h sprads of corpora and govrnmn bonds can forcas macroconomic paramrs could b xndd o prdic h bhavior of spcific sgmns of conomic growh such as labor mark rnds, housing prics and prsonal consumpion. Whil prvious sudis hav succdd mosly in forcasing broad mark indicaors lik h growh ra and sock mark bhavior, w suggs ha h us of corpora bonds, firs usd by Saar and Yagil, can nabl h prdicion of sgmn spcific pars of h growh of h conomy. Using linar and logisic rgrssions as wll as ou-of-sampl analyss wih daa abou h US conomy from 2002 o 2016, w hav rachd svral imporan conclusions. Firs, w find ha h sprads of corpora and govrnmn bonds can forcas changs in h unmploymn ra boh on h monhly and yarly lvl. Morovr, w find a ngaiv rlaionship bwn h sprads and changs in unmploymn, implying ha highr sprads indica a lowr unmploymn ra in h fuur. Whn invsigaing h housing mark, w discovr a similar alhough posiiv rlaionship bwn h govrnmn and corpora bond sprads and housing prics. Th posiiv rlaionship sms from h fac ha 190
rising housing prics ar rlad o an improvd conomic sa accompanid by incrasd disposabl incom. Finally, w sd whhr our findings ar also rlvan for prdicing prsonal consumpion. Hr oo, w sablish a posiiv rlaionship bwn h sprads and fuur prsonal consumpion. Howvr, whil h rsuls in his ara ar significan, hy ar wakr compard wih hos of h housing and labor marks. All of our rsuls wr lar raffirmd by conducing ou-of-sampl analyss which providd us wih a diffrn approach o chck hir rlvancy and robusnss. On addiional finding worh noing is ha in lin wih h prvious sudis of Saar and Yagil, govrnmn bonds ar br prdicors for h long-rm, whras corpora bonds ar br prdicors for h shor-rm. W surmis ha hs findings rsul from h fac ha invsmns in govrnmn bonds ar usually mor sragic and long-rm as opposd o invsmns in corpora bonds ha ar considrd o b mor acical. In sum, by using a vas numbr of ools, ou-of-sampl analyss, and a rlaivly larg and up o da sampl in ordr o vrify h validiy of our rsuls, w can conclud ha govrnmn and corpora yild sprads can prdic fuur sgmn spcific pars of h growh of h conomy such as rnds in h labor mark, changs in housing prics and prsonal consumpion. On limiaion of his sudy is du o h fac ha prcis and rliabl corpora bonds daa has bn availabl only for a priod of lss han 20 yars, and a fuur possibl xnsion is o incorpora mor daa poins whn hy bcom availabl. Rfrncs Alman, E. I. (1987. Th Anaomy of High-Yild Bond Mark. Financial Analyss Journal, 43, 12-25. hps://doi.org/10.2469/faj.v43.n4.12 Bar-Isaac, H., & Shapiro, J. (2013. Raings qualiy ovr h businss cycl. Journal of Financial Economics, 108(1, 62-78. hps://doi.org/10.1016/j.jfinco.2012.11.004 Brardi, A., & Torous, W. (2005. Trm Srucur Forcass of Long Trm Consumpion Growh. Journal of Financial and Quaniaiv Analysis, 40, 241-258. hps://doi.org/10.1017/s0022109000002295 Boyd, J. H., Hu, J., & Jagannaan, R. (2005. Th Sock Mark s Racion o Unmploymn Nws: Why Bad Nws Is Usually Good for Socks. Th Journal of Financ, 60(2, 649-672. hps://doi.org/10.1111/j.1540-6261.2005.00742.x Brand, M., & Kavajcz, K. (2004. Pric Discovry in h U.S. Trasury Mark: Th Impac of Ordrflow and Liquidiy on h Yild Curv. Journal of Financ, 59, 2623-2654. hps://doi.org/10.1111/j.1540-6261.2004.00711.x Chang, K. L., Chn, N. K., & Lung, C. K. Y. (2011. Monary Policy, Trm Srucur and Ass Rurn: Comparing REIT, Housing and Sock. Th Journal of Ral Esa Financ and Economics, 43(1, 221-257. hps://doi.org/10.1007/s11146-010-9241-8 Chn, L., & Zhang, L. (2011. Do im-varying risk prmiums xplain labor mark prformanc? Journal of Financial Economics, 99(2, 385-399. hps://doi.org/10.1016/j.jfinco.2010.09.002 Chun, A. L. (2011. Expcaions, Bond Yilds, and Monary Policy. Rviw of Financial Sudis, 24, 208-247. hps://doi.org/10.1093/rfs/hhq090 Duff, G. R., & Hopkins, J. (2011. Informaion in (and no in h Trm Srucur. Rviw of Financial Sudis, 24, 2895-2934. Duffi, D., & Singlon, K. (1999. Modling Trm Srucurs of Dfaulabl Bonds. Rviw of Financial Sudis, 12, 687-720. hps://doi.org/10.1093/rfs/12.4.687 Esrlla, A., & Hardouvlis, G. A. (1991. Th Trm Srucur as a Prdicor of Ral Economic Aciviy. Journal of Financ, 46, 555-577. hps://doi.org/10.1111/j.1540-6261.1991.b02674.x Fabozzi, F. J. (2005. Th Handbook of Fixd Incom Scuriis (Vol. 6. Nw York: McGraw-Hill. Fons, J. S. (1994. Using Dfaul Ras o Modl h Trm Srucur of Crdi Risk. Financial Analyss Journal, 50, 25-32. hps://doi.org/10.2469/faj.v50.n5.25 Goynko, R., Subrahmanyam, A., & Ukhov, A. (2011. Th Trm Srucur of Bond Mark Liquidiy and Is Implicaions for Expcd Bond Rurns. Journal of Financial and Quaniaiv Analysis, 46(1, 111-139. hps://doi.org/10.1017/s0022109010000700 Harvy, C. R. (1998. Th ral rm srucur and consumpion growh. Journal of Financial Economics, 22(2, 305-333. 191
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