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The pricing of risk in European credit and corporate bond markets
Berndt, Antje (contributor); Obreja, Iulian (contributor) - 2007
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10003516709
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10013316873
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A factor analysis approach to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Borys, Magdalena Morgese - 2009
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...
Persistent link: https://www.econbiz.de/10003951784
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A factor analysis approach to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Borys, Magdalena Morgese - 2009
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...
Persistent link: https://www.econbiz.de/10008939455
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A factor analysis approach to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Borys, Magdalena Morgese - In: Journal of banking & finance 35 (2011) 4, pp. 1011-1025
Persistent link: https://www.econbiz.de/10009244195
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Bond yield spreads in the Eurozone
Proksová, Denisa; Bohdalová, Mária - In: Analele ştiinţifice ale Univerşităţii Alexandru … 62 (2015) 2, pp. 221-239
Persistent link: https://www.econbiz.de/10011303532
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The role of bank lending tightening on corporate bond issuance in the eurozone
Kaya, Orcun; Wang, Lulu - 2014
eurozone. By utilizing a unique data set provided by the ECB Bank Lending Survey, we capture the "pure" credit supply effect on … banks reporting considerable tightening on loans leads to around a 7% increase in firms' bond issuance in the eurozone … too. Furthermore, the impact of bank credit tightening on firms' bond issuance is particularly observable in core eurozone …
Persistent link: https://www.econbiz.de/10010349389
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Macroeconomic effects of non-standard monetary policy measures in the euro area : the role of corporate bond purchases
Bartocci, Anna; Burlon, Lorenzo; Notarpietro, Alessandro; … - 2017
Persistent link: https://www.econbiz.de/10011943029
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Corporate bond spreads and real activity in the euro area : least Angle Regression forecasting and the probability of the recession
Buchmann, Marco - 2011
This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds’ quality , their term to...
Persistent link: https://www.econbiz.de/10008901497
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Common factors in the performance of European corporate bonds : evidence before and after the financial crisis
Aussenegg, Wolfgang; Goetz, Lukas; Jelic, Ranko - In: European financial management : the journal of the … 21 (2015) 2, pp. 265-308
Persistent link: https://www.econbiz.de/10010516673