We offer an early indicator for credit and business cycles, using intra-family flow shifts towards high-yield bond funds. Our indicator positively predicts increases in net bond issuance, growth in financial intermediary balance sheets, shares of high-yield bond issuers, reaching for yield in the credit market, stock market returns, and measures of monetary policies as well as decreases in credit spreads. Importantly, our measure positively predicts GDP growth and negatively predicts unemployment up to one year earlier than other leading indicators in the literature. The forecasting power of our measure stems in part from its forecasting power for future aggregate investor demand.

JEL Classification: E32, G12,

Keywords: credit cycle, business cycle, mutual fund flows, high-yield bonds, investor demand, leading indicator