Bond spreads and economic activity in eight European economies

Bleaney, Michael and Mizen, Paul and Veleanu, Veronica (2016) Bond spreads and economic activity in eight European economies. Economic Journal . ISSN 0013-0133

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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.

Item Type: Article
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
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number: https://doi.org/10.1111/ecoj.12288
Depositing User: Eprints, Support
Date Deposited: 09 May 2016 13:58
Last Modified: 19 Nov 2016 15:17
URI: http://eprints.nottingham.ac.uk/id/eprint/32916

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