Search

Fluctuations in the risk of a large increase in unemployment are examined. The analysis compares medium‐term risks—that is, risks at a 3‐year horizon—to those over a 1‐year horizon. The primary approach involves quantile regressions. Robustness exercises examine risks using a logistic regression to model the probability of a large increase in the unemployment rate. U.S. experience reveals an elevated risk of large increases in unemployment over the medium term when credit growth is high and when the unemployment rate is low. Near‐term risks to unemployment are closely tied to changes in corporate bond spreads or the slope of the yield curve, consistent with research on recession prediction, but these factors do not play a sizable role in medium‐term risks. These results highlight the value of considering different near‐ and medium‐term risk factors. [ABSTRACT FROM AUTHOR]

The fixed income market of the United States is valued, as of 2021, at USD 46 trillion, almost double that of the domestic stock market, refuting common belief that stocks are a more favoured form of investment. Fixed income instruments however, are also not as secure and risk-free as was traditionally believed; they have ample scope for taking risk and earning higher returns. This paper attempts to study four main factors out of a multitude, that affect bond yields and build 5 models using Ordinary Least Squares Regression to confirm the direction and strength of these relationships. We use two types of Treasury Inflation Protected Yields (short-term and longterm) and three types of Corporate bond Yields (based on varying credit ratings) for the purpose. The influencing factors under study are inflation, policy rates and real economic growth. The paper uses data for a period of 21 years (2000-2021) and concludes its findings using econometrical techniques. We also later test our data for autocorrelation, multicollinearity and a structural break post December, 2019 owing to the pandemic. We find relationships in sync with our established a priori expectations and no structural break. [ABSTRACT FROM AUTHOR]