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Bond spreads and economic activity in eight European economies

Bleaney, Michael; Mizen, Paul; Veleanu, Veronica

Authors

Michael Bleaney

PAUL MIZEN paul.mizen@nottingham.ac.uk
Professor of Monetary Economics

Veronica Veleanu



Abstract

We provide new insights into the relationship between financial market tightness and real activity, using a new database of corporate bonds issued in eight European countries. Bond spreads have a significant negative relationship with four real activity variables at horizons 1–8 quarters ahead. The relationship is robust to adding measures of monetary policy tightness and leading indicators, providing strong support for models previously only evaluated on US data. A subset of northern European countries have similar sensitivity of real GDP to bond spreads, but others have greater sensitivity to bond spreads, revealing diverse responses in Europe to financial market tightness.

Citation

Bleaney, M., Mizen, P., & Veleanu, V. (in press). Bond spreads and economic activity in eight European economies. Economic Journal, 126(598), https://doi.org/10.1111/ecoj.12288

Journal Article Type Article
Acceptance Date Mar 11, 2015
Online Publication Date Feb 29, 2016
Deposit Date May 9, 2016
Publicly Available Date May 9, 2016
Journal Economic Journal
Print ISSN 0013-0133
Electronic ISSN 0013-0133
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 126
Issue 598
DOI https://doi.org/10.1111/ecoj.12288
Public URL http://eprints.nottingham.ac.uk/id/eprint/32916
Publisher URL http://onlinelibrary.wiley.com/doi/10.1111/ecoj.12288/abstract
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf
Additional Information This is the accepted version of the following article: Bleaney, M., Mizen, P. and Veleanu, V. (2016), Bond Spreads and Economic Activity in Eight European Economies. The Economic Journal. doi: 10.1111/ecoj.12288, which has been published in final form at http://dx.doi.org/10.1111/ecoj.12288

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Credit Spreads and Real Activity_9 March 2015.pdf (1.3 Mb)
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf


Online appendix_11 March 2015 (2).pdf (715 Kb)
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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