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Corporate credit spreads and the Financial Accelerator Mechanism: Differentiating between credit rating, time to maturity and industry sector

Svensson, Christian LU and Figge, Alexander Dario LU (2011) NEKM03 20111
Department of Economics
Abstract (Swedish)
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 explanatory power of corporate bond spreads on economic growth is examined along four dimensions: the industry sector – i.e. distinction between financial and non-financial corporations, the bonds‟ credit ratings and their time to maturity. We find that there is evidence of a present Financial Accelerator Mechanism and that this is made more visible due to the recent financial crisis.
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author
Svensson, Christian LU and Figge, Alexander Dario LU
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
Corporate Bonds Spreads, Economic Growth, External Finance Premium, Financial Accelerator Mechanism, Financial Crisis
language
English
id
1974452
date added to LUP
2011-06-17 11:17:55
date last changed
2011-06-17 11:17:55
@misc{1974452,
  abstract     = {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 explanatory power of corporate bond spreads on economic growth is examined along four dimensions: the industry sector – i.e. distinction between financial and non-financial corporations, the bonds‟ credit ratings and their time to maturity. We find that there is evidence of a present Financial Accelerator Mechanism and that this is made more visible due to the recent financial crisis.},
  author       = {Svensson, Christian and Figge, Alexander Dario},
  keyword      = {Corporate Bonds Spreads,Economic Growth,External Finance Premium,Financial Accelerator Mechanism,Financial Crisis},
  language     = {eng},
  note         = {Student Paper},
  title        = {Corporate credit spreads and the Financial Accelerator Mechanism: Differentiating between credit rating, time to maturity and industry sector},
  year         = {2011},
}