Michael Bleaney
Bond spreads and economic activity in eight European economies
Bleaney, Michael; Mizen, Paul; Veleanu, Veronica
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 | https://nottingham-repository.worktribe.com/output/774698 |
Publisher URL | http://onlinelibrary.wiley.com/doi/10.1111/ecoj.12288/abstract |
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 |
Files
Credit Spreads and Real Activity_9 March 2015.pdf
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Online appendix_11 March 2015 (2).pdf
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