French paper constructs credit risk indicators for eurozone
Indicators built using yields on eurozone private bonds and German government securities
Financial and non-financial credit spread indexes are "highly robust" leading indicators for economic activity, according to a working paper published by the Banque de France last week.
In Credit Risk in the Euro area, Simon Gilchrist and Benoit Mojon construct credit risk indicators for banks and non-financial corporations. "These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities," they
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