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Are U.S. corporate bonds exposed to Europe?

Author

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  • Galina Hale
  • Elliot Marks
  • Fernanda Nechio

Abstract

The European sovereign debt crisis has created tensions in the global corporate debt market. Investors increasingly hold international assets and companies issue bonds in many countries. Thus, shocks to the European corporate bond market are readily transmitted to the U.S. corporate bond market. However, the rate of transmission is less than one-to-one. Moreover, different segments of the U.S. market vary in the magnitude of their response to European shocks. In particular, higher-rated nonfinancial borrowers and lower-rated financial borrowers are less affected on average.

Suggested Citation

  • Galina Hale & Elliot Marks & Fernanda Nechio, 2012. "Are U.S. corporate bonds exposed to Europe?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun4.
    • Handle: RePEc:fip:fedfel:y:2012:i:jun4:n:2012-17
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    References listed on IDEAS

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    1. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    2. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
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    Cited by:

    1. Zhao, Xin & Jiang, Xianling & Li, Zhaoyang, 2015. "The impact of the economic crisis on the financial performance of multinational corporations," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 55-68.
    2. repec:fip:fedfsp:y:2012:i:july23:n:2012-22 is not listed on IDEAS
    3. John C. Williams, 2012. "The outlook and monetary policy challenges," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue july23.

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