A macro–financial analysis of the corporate bond market
| العنوان: | A macro–financial analysis of the corporate bond market |
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| المؤلفون: | Leonardo Iania, Marco Lyrio, Wolfgang Lemke, Hans Dewachter |
| المصدر: | Empirical Economics. 57:1911-1933 |
| بيانات النشر: | Springer Science and Business Media LLC, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | Statistics and Probability, Economics and Econometrics, Yield (finance), 05 social sciences, Financial market, Flight-to-liquidity, Corporate bond, Mathematics (miscellaneous), 0502 economics and business, Economics, Econometrics, Financial analysis, Yield curve, 050207 economics, Overnight indexed swap, Social Sciences (miscellaneous), Affine term structure model, 050205 econometrics |
| الوصف: | We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001–2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter et al. (J Bank Finance 50:308–325, 2015). We model jointly the ‘risk-free curve’, measured by overnight index swap (OIS) rates, and the corporate yield curves for two rating classes (A and BBB). The model includes four spanned and six unspanned factors. We find that, in general, both economic (real activity and inflation) and financial factors (proxying risk aversion, flight to liquidity and general financial market stress) play a significant role in the determination of the spanned factors and hence in the dynamics of the risk-free yield curve and corporate bond spreads. Across the risk-free OIS curve, macroeconomic and financial factors are each responsible on average for explaining 30 and 65% of yield variation, respectively. For A- and BBB-rated corporate debt, the selected financial variables explain on average 50% of the variation in corporate spreads during the last decade. |
| تدمد: | 1435-8921 0377-7332 |
| DOI: | 10.1007/s00181-018-1530-8 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::6a2eef982833fca274869fa8e0c9d578 https://doi.org/10.1007/s00181-018-1530-8 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi...........6a2eef982833fca274869fa8e0c9d578 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 14358921 03777332 |
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| DOI: | 10.1007/s00181-018-1530-8 |