{"id":125092,"date":"2024-01-23T09:30:50","date_gmt":"2024-01-23T08:30:50","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/125092\/"},"modified":"2025-10-22T22:09:32","modified_gmt":"2025-10-22T20:09:32","slug":"the-predictive-ability-of-a-risk-adjusted-yield-spread-for-economic-activity-in-europe","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/125092\/","title":{"rendered":"The predictive ability of a risk-adjusted yield spread for economic activity in Europe"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-125092","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"This paper examines whether the pricing of risk is important for macroeconomic activity at the country level. We design a risk-adjusted yield spread and test its predictive content for economic activity on the periphery and the centre of Europe over the 1990-2012 period. This risk-adjusted bond yield spread is defined in a cross-country context and referred to as the GZ-type spread. Increases in the yield on corporate bonds issued in the countries on the periphery relative to the riskless yield (calculated using German zero-coupon term structure data) reflect increases in the risk premium that the financial market imposes on borrowers. The risk premium rises in all countries during European-wide recessions of the recent past, particularly those associated with the global financial and the sovereign debt crisis. Our findings indicate further that this GZ-type spread acts as a reliable signal for imminent and near-term economic activity in countries where financial markets were shaken to their foundations during the Crisis period. For Germany, the GZ-spread has predictive content for industrial production but not for the unemployment rate. For GDP its predictive ability is confined to the EMU period.","onlinedate":"2017-02-01 01:00:00","lang":"English","publication_series":"","publication_date":"20170201","publication_date_year":"","publication_date_full":false,"publication_num_pages":"","keywords":"[]","jelcodes":"[]","related_publications":"[]","pdf":null,"zip":null,"link":"http:\/\/www.springer.com\/10663","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"44","monthly_report_pages":"1-27","monthly_report_pages_sort":"1","issue":"1","journal":"Empirica","publisher":"","invisible":false,"external":true,"embargo_date":null,"types":[83083],"research_groups":[3500],"collaboration":"","persons":[14049,14051],"persons_data":"[{\"personId\":14049,\"personName\":\"Alfred Guender\",\"organisationNames\":[]},{\"personId\":14051,\"personName\":\"Bernard Tolan\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.5 (Yoast SEO v26.5) - 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