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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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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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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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Fragmentation and heterogeneity in the euro-area corporate bond market : back to normal?
Zaghini, Andrea - 2016
We assess the degree of market fragmentation in the euro-area corporate bond market by disentangling the determinants of the risk premium paid on bonds at origination. By looking at over 2,400 bonds we are able to isolate the country-specific effects which are a suitable indicator of the market...
Persistent link: https://www.econbiz.de/10011431131
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Credit risk in the euro area
Gilchrist, Simon; Mojon, Benoît - 2014
Persistent link: https://www.econbiz.de/10010353423
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Credit risk in the euro area
Gilchrist, Simon; Mojon, Benoît - 2014
Persistent link: https://www.econbiz.de/10010356911
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Measuring financial fragmentation in the euro area corporate bond market
Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - 2016
Persistent link: https://www.econbiz.de/10011566761