Euro area corporate debt securities market: first empirical evidence
A striking development in the euro area financial markets since 1999 was the rapid growth of the corporate debt securities market. This paper offers a first empirical examination of this market since the introduction of the euro using macroeconomic data. It is shown that corporate debt issuance is positively correlated with mergers and acquisitions and with industrial production, taken as a proxy of investment expenditures or working capital. Substitution with other sources of finance is shown to be related to cost differentials. The timing and size of these explanatory factors of corporate debt securities issuance differ across maturity. The empirical findings also show that corporate bond spreads lag short-term interest rates and lead real economic activity. All this suggests that the euro area corporate bond market, though still young, is informative for monetary policy and may develop into a significant link in the euro area monetary policy transmission process. JEL Classification: G32, E44
|Date of creation:||Aug 2002|
|Contact details of provider:|| Postal: 60640 Frankfurt am Main, Germany|
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Web page: http://www.ecb.europa.eu/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
- Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-714, Nov.-Dec..
- John V. Duca, 1999. "What credit market indicators tell us," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 2-13.
- Iryna V. Ivaschenko & Jorge A Chan-Lau, 2001. "Corporate Bond Risk and Real Activity; An Empirical Analysis of Yield Spreads and Their Systematic Components," IMF Working Papers 01/158, International Monetary Fund.
- Gabe de Bondt, 1999. "Credit channels and consumption in Europe: empirical evidence," BIS Working Papers 69, Bank for International Settlements.
- E. P. Davis, 2001. "Multiple Avenues of Intermediation, Corporate Finance and Financial Stability," IMF Working Papers 01/115, International Monetary Fund.
- Choe, Hyuk & Masulis, Ronald W. & Nanda, Vikram, 1993. "Common stock offerings across the business cycle : Theory and evidence," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 3-31, June.
- Benninga, Simon & Talmor, Eli, 1988. "The Interaction of Corporate and Government Financing in General Equilibrium," The Journal of Business, University of Chicago Press, vol. 61(2), pages 233-258, April.
- George Athanassakos & Peter Carayannopoulos, 2001. "An empirical analysis of the relationship of bond yield spreads and macro economic factors," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 197-207.
- Davis, E Philip & Mayer, Colin, 1991. "Corporate Finance in the Euromarkets and the Economics of Intermediation," CEPR Discussion Papers 570, C.E.P.R. Discussion Papers.
- Joaquim Vieira Ferreira Levy & Alessandro Calza & Dieter Gerdesmeier, 2001. "Euro Area Money Demand; Measuring the Opportunity Costs Appropriately," IMF Working Papers 01/179, International Monetary Fund.
- A. Calza & C. Gartner & J. Sousa, 2003.
"Modelling the demand for loans to the private sector in the euro area,"
Taylor & Francis Journals, vol. 35(1), pages 107-117.
- Calza, Alessandro & Gartner, Christine & Sousa, João, 2001. "Modelling the demand for loans to the private sector in the euro area," Working Paper Series 0055, European Central Bank.
- Patrick Bolton & Xavier Freixas, 2000. "Equity, Bonds, and Bank Debt: Capital Structure and Financial Market Equilibrium under Asymmetric Information," Journal of Political Economy, University of Chicago Press, vol. 108(2), pages 324-351, April. Full references (including those not matched with items on IDEAS)