TY - JOUR T1 - Future Economic Information Embedded in High Yield Spreads JF - The Journal of Fixed Income SP - 32 LP - 39 DO - 10.3905/jfi.2016.26.2.032 VL - 26 IS - 2 AU - Jack Clark Francis AU - Christopher Hessel AU - Jun Wang Y1 - 2016/09/30 UR - https://pm-research.com/content/26/2/32.abstract N2 - 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 ER -