In this chapter we provide a guide for the construction, use and evaluation of leading
indicators, and an assessment of the most relevant recent developments in this field of …

Using micro-level data, we construct a credit spread index with considerable predictive
power for future economic activity. We decompose the credit spread into a component that …

Are asset prices useful predictors of inflation and real output growth? After reviewing the
large literature on this topic, we undertake an empirical analysis of quarterly data for seven …

The US economy is currently experiencing a period of signifi-cant financial stress. This
stress has contributed to the downturn in the economy by boosting the cost of credit and …

To identify disruptions in credit markets, research on the role of asset prices in economic
fluctuations has focused on the information content of various corporate credit spreads. We …

This paper decomposes the explained part of the CDS spread changes of 32 listed euro
area banks according to various risk drivers. The choice of the credit risk drivers is inspired …

Employing a large number of financial indicators, we use Bayesian model averaging (BMA)
to forecast real-time measures of economic activity. The indicators include credit spreads …

The aim of this paper is to construct the first comprehensive Financial Stress Index for
Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This …

We construct daily market-based measures of distance to default for large US financial
institutions since 1973. These measures have significant predictive power for institution …

In the financial crisis and recession induced by the Covid-19 pandemic, many investment-
grade firms became unable to borrow from securities markets. In response, the Fed not only …