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Credit Spreads Predictability on Norwegian business cycles

Eide, Marthe Enger; Phan, Yen Hai
Master thesis
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2287517.pdf (2.220Mb)
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http://hdl.handle.net/11250/2623602
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1530]
Sammendrag
This thesis examines the predictability of corporate bond credit spreads on Norwegian

business cycles. We provide evidence that credit spreads between investment-grade

corporate bonds contain significant predictive information for Norwegian business cycles

in the three- and six-month horizon. Further, we examine the forecast performance

of corporate bond credit spreads over time and argue that their performance depends on

the nature of the recessions. In sum, we confirm our hypothesis that credit spreads can

be used as leading predictors for Norwegian business cycles.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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