Corporate credit spreads and the Financial Accelerator Mechanism: Differentiating between credit rating, time to maturity and industry sector
(2011) NEKM03 20111Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1974452
- author
- Svensson, Christian LU and Figge, Alexander Dario LU
- supervisor
- organization
- course
- NEKM03 20111
- year
- 2011
- 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}}, 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}}, }