Debt Finance and Economic Activity in the Euro-Area: Evidence on Asymmetric and Maturity Effects

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dc.contributor.authorGuender, Alfred
dc.contributor.authorDas, K
dc.contributor.authorDonald, L
dc.date.accessioned2024-09-19T04:04:39Z
dc.date.available2024-09-19T04:04:39Z
dc.date.issued2023en
dc.date.updated2023-02-01T21:53:30Z
dc.description.abstractThis paper presents a model of alternative sources of credit – bank vs. bond finance - to examine the credit substitution hypothesis. Our framework produces testable hypotheses about the behaviour of price- and quantity-based information variables. Examining data from ten Euro-area countries, we find that a credit spread outperforms a finance mix as a predictor of economic activity in both time series and pooled data regressions. There are clear signs of asymmetric and maturity effects in the data. Positive changes in the credit spread predict decreases in economic activity while negative changes bear no informative content. The asymmetric effect is exceptionally strong in pooled data and is present in short-term, long-term, and total credit spreads. In country-specific time-series regressions the asymmetric signalling property is strongest for the long-term credit spread. By contrast, we find no substantive evidence that changes in a quantity-based finance mix have robust predictive power.
dc.identifier.citationGuender A, Das K, Donald L (2023). Debt Finance and Economic Activity in the Euro-Area: Evidence on Asymmetric and Maturity Effects. International Review of Economics and Finance.en
dc.identifier.issn1059-0560
dc.identifier.urihttps://hdl.handle.net/10092/107594
dc.language.isoenen
dc.rightsAll rights reserved unless otherwise stateden
dc.rights.urihttp://hdl.handle.net/10092/17651en
dc.subjectcredit spread
dc.subjectfinance mix
dc.subjectpredictive ability
dc.subjectasymmetric effects
dc.subjectmaturity split
dc.subject.anzsrc1401 Economic Theory
dc.subject.anzsrc1402 Applied Economics
dc.subject.anzsrc1502 Banking, Finance and Investment
dc.subject.anzsrc38 - Economics
dc.subject.anzsrc35 - Commerce, management, tourism and services::3502 - Banking, finance and investment
dc.titleDebt Finance and Economic Activity in the Euro-Area: Evidence on Asymmetric and Maturity Effectsen
dc.typeJournal Articleen
uc.collegeUC Business School
uc.departmentDepartment of Economics and Finance
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