The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer influence factor and autonomous speed of diffusion. The latter is found to be higher in Europe than in the United States as also macroeconomic factors are considered. The high-yield bond diffusion pattern is significantly affected by financing need variables, e.g. leverage buy-outs, mergers and acquisitions, and industrial production growth, and return or financing cost variables, e.g. stock market return and the spread between the yield on speculative-grade and BBB-rated investment-grade bonds. These findings suggest that the diffusion of new financial products depends on the macroeconomic environment and can be quickly in case of the diffusion from a pioneer country to later adopting countries. JEL Classification: G32, E44
|Date of creation:||Feb 2004|
|Date of revision:|
|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.:
- Philip Molyneux & Nidal Shamroukh, 1996.
"Diffusion of financial innovations: the case of junk bonds and note issuance facilities,"
Federal Reserve Bank of Cleveland, issue Aug, pages 502-526.
- Molyneux, Phil & Shamroukh, Nidal, 1996. "Diffusion of Financial Innovations: The Case of Junk Bonds and Note Issuance Facilities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 502-22, August.
- Yago, Glenn & Trimbath, Susanne, 2003. "Beyond Junk Bonds: Expanding High Yield Markets," OUP Catalogue, Oxford University Press, number 9780195149234, December.
- Christophe Van den Bulte & Gary L. Lilien, 1997. "Bias and Systematic Change in the Parameter Estimates of Macro-Level Diffusion Models," Marketing Science, INFORMS, vol. 16(4), pages 338-353.
- Gruber, Harald & Verboven, Frank, 2001.
"The diffusion of mobile telecommunications services in the European Union,"
European Economic Review,
Elsevier, vol. 45(3), pages 577-588, March.
- Gruber, H. & Verboven, F.L., 1998. "The Diffusion of Mobile Telecommunications Services in the European Union," Discussion Paper 1998-138, Tilburg University, Center for Economic Research.
- Gruber, Harald & Verboven, Frank, 1999. "The Diffusion of Mobile Telecommunications Services in the European Union," CEPR Discussion Papers 2054, C.E.P.R. Discussion Papers.
- Vijay Mahajan & Robert A. Peterson, 1978. "Innovation Diffusion in a Dynamic Potential Adopter Population," Management Science, INFORMS, vol. 24(15), pages 1589-1597, November.
- Robert C. Merton, 1995.
"Financial Innovation and the Management and Regulation of Financial Institutions,"
NBER Working Papers
5096, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1995. "Financial innovation and the management and regulation of financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 461-481, June.
- Rajan, Raghuram G & Zingales, Luigi, 1998.
"Financial Dependence and Growth,"
American Economic Review,
American Economic Association, vol. 88(3), pages 559-86, June.
- Raghuram G. Rajan & Luigi Zingales, . "Financial Dependence and Growth," CRSP working papers 344, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Raghuram G. Rajan & Luigi Zingales, 1996. "Financial Dependence and Growth," NBER Working Papers 5758, National Bureau of Economic Research, Inc.
- Gertler, Mark & Lown, Cara S, 1999.
"The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications,"
Oxford Review of Economic Policy,
Oxford University Press, vol. 15(3), pages 132-50, Autumn.
- Mark Gertler & Cara S. Lown, 2000. "The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications," NBER Working Papers 7549, National Bureau of Economic Research, Inc.
- Berger, Allen N, 1996. "Comment on Diffusion of Financial Innovations: The Case of Junk Bonds and Note Issuance Facilities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 523-26, August.
- Hubert Gatignon & Jehoshua Eliashberg & Thomas S. Robertson, 1989. "Modeling Multinational Diffusion Patterns: An Efficient Methodology," Marketing Science, INFORMS, vol. 8(3), pages 231-247.
- Sean Becketti, 1986. "Corporate mergers and the business cycle," Economic Review, Federal Reserve Bank of Kansas City, issue May, pages 13-26.
- Elijah Brewer & William Jackson, 2000. "Requiem for a Market Maker: The Case of Drexel Burnham Lambert and Junk Bonds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 209-235, September.
- Christopher J. Easingwood & Vijay Mahajan & Eitan Muller, 1983. "A Nonuniform Influence Innovation Diffusion Model of New Product Acceptance," Marketing Science, INFORMS, vol. 2(3), pages 273-295.
- Tufano, Peter, 1989. "Financial innovation and first-mover advantages," Journal of Financial Economics, Elsevier, vol. 25(2), pages 213-240, December.
- Parker, Philip M., 1994. "Aggregate diffusion forecasting models in marketing: A critical review," International Journal of Forecasting, Elsevier, vol. 10(2), pages 353-380, September.
- Mark R. Stone & E. P. Davis, 2004.
"Corporate Financial Structure and Financial Stability,"
IMF Working Papers
04/124, International Monetary Fund.
- Davis, E. Philip & Stone, Mark R., 2004. "Corporate financial structure and financial stability," Journal of Financial Stability, Elsevier, vol. 1(1), pages 65-91, September.
- de Bondt, Gabe, 2002. "Euro area corporate debt securities market: first empirical evidence," Working Paper Series 0164, European Central Bank.
- E. P. Davis, 2001. "Multiple Avenues of Intermediation, Corporate Finance and Financial Stability," IMF Working Papers 01/115, International Monetary Fund.
- Jagtiani, Julapa & Saunders, Anthony & Udell, Gregory, 1995. "The effect of bank capital requirements on bank off-balance sheet financial innovations," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 647-658, June.
- Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Staff Working Papers 02-15, Bank of Canada.
- Geroski, P. A., 2000.
"Models of technology diffusion,"
Elsevier, vol. 29(4-5), pages 603-625, April.
- Ma, Christopher K & Rao, Ramesh P & Peterson, Richard L, 1989. " The Resiliency of the High-Yield Bond Market: The LTV Default," Journal of Finance, American Finance Association, vol. 44(4), pages 1085-97, September.
- repec:cup:cbooks:9780521831802 is not listed on IDEAS
- Frank M. Bass & Trichy V. Krishnan & Dipak C. Jain, 1994. "Why the Bass Model Fits without Decision Variables," Marketing Science, INFORMS, vol. 13(3), pages 203-223.
When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20040313. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications)
If references are entirely missing, you can add them using this form.