PT - JOURNAL ARTICLE AU - Jack Clark Francis AU - Christopher Hessel AU - Jun Wang TI - Future Economic Information Embedded in High Yield Spreads AID - 10.3905/jfi.2016.26.2.032 DP - 2016 Sep 30 TA - The Journal of Fixed Income PG - 32--39 VI - 26 IP - 2 4099 - https://pm-research.com/content/26/2/32.short 4100 - https://pm-research.com/content/26/2/32.full AB - Bond spreads aggregate the market participants’ view of future economic activity. In this article, we examine the embedded information in the growth rate of high-yield bond spreads. We predict growth rates of economic variables one, two, three, and four quarters in the future using high-yield bond spreads. We examine 84 economic variables and report significant information embedded in the growth rate of the high-yield bond spread for 58 of the economic variables.TOPICS: Fixed income and structured finance, quantitative methods