A macro-financial analysis of the corporate bond market

dc.contributor.authorDewachter, Hans
dc.contributor.authorIania, Leonardo
dc.contributor.authorLemke, Wolfgang
dc.contributor.authorLyrio, Marco Túlio Pereira
dc.coverage.paisNão Informadopt_BR
dc.creatorDewachter, Hans
dc.creatorIania, Leonardo
dc.creatorLemke, Wolfgang
dc.creatorLyrio, Marco Túlio Pereira
dc.date.accessioned2024-01-22T18:58:32Z
dc.date.available2024-01-22T18:58:32Z
dc.date.issued2018
dc.description.abstractWe assess the contribution of economic and Önancial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no arbitrage a¢ ne term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015). We model jointly the ërisk-free curveí, 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 Önd that, in general, both economic (real activity and ináation) and Önancial factors (proxying risk aversion, áight to liquidity and general Önancial market stress) play a signiÖcant 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 Önancial factors are each responsible on average for explaining 30 and 65 percent of yield varation, respectively. For A and BBB-rated corporate debt, the selected Önancial variables explain on average 50 percent of the variation in corporate spreads during the last decade.pt_BR
dc.format.extentp. 1911–1933
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.2866/757654pt_BR
dc.identifier.issn1435-8921pt_BR
dc.identifier.issn0377-7332pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/6339
dc.language.isoInglêspt_BR
dc.publisherSpringer-Verlag GmbH Germanypt_BR
dc.relation.ispartofEmpirical Economicspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subjectEuro area corporate bondspt_BR
dc.subjectYield spread decompositionpt_BR
dc.subjectUnspanned macro factorspt_BR
dc.titleA macro-financial analysis of the corporate bond marketpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2214.en.pdf
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

Arquivos