Determinants of euro-denominated corporate bond spreads

Arbeitspapier

This paper computes time-varying indicators of the relative importance of different credit spread determinants, including rating, sector and country attribution as well as the coupon rate, maturity and liquidity on the basis of the comprehensive dataset of individual bonds. Additionally, it decomposes variances of rating-specific (country- and sector-specific) spread indices into the impacts of explanatory variables. Both cross-sectional and time series analyses confirm that the rating effect was the major driver of corporate bond spreads during the pre-crisis period, while the recent financial crisis was characterised by increased cross-country and cross-sector heterogeneity. The sector effects in corporate spreads together with the rating effects for high-rated and low-rated bonds are found to be more closely linked to default rates and stock indices, whereas the common effect also to be linked to business cycle conditions. The dataset also allows documenting a break-up in the existence of country ceilings for corporate bond ratings during the crisis.

Angaben zum Objekt

• ISBN: 978-92-899-2160-2
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1912

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Markets and the Macroeconomy
• Thema: corporate bond spreads ; credit risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Krylova, Elizaveta
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2016

Weitere Informationen

• DOI: doi:10.2866/197396
• Handle: http://hdl.handle.net/10419/154345
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ