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

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dc.contributor.authorDas K
dc.contributor.authorDonald L
dc.contributor.authorGuender, Alfred
dc.date.accessioned2023-07-26T01:46:52Z
dc.date.available2023-07-26T01:46:52Z
dc.date.issued2023en
dc.date.updated2023-03-08T22:09:10Z
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.en
dc.identifier.citationGuender A, Das K, Donald L (2023). Debt Finance and Economic Activity in the Euro-Area: Evidence on Asymmetric and Maturity Effects. Canberra, Australia. Centre for Applied Macroeconomic Analysis.en
dc.identifier.issn2206-0332
dc.identifier.urihttps://hdl.handle.net/10092/105760
dc.language.isoenen
dc.rightsAll rights reserved unless otherwise stateden
dc.rights.urihttp://hdl.handle.net/10092/17651en
dc.subjectCredit spreaden
dc.subjectfinance mixen
dc.subjectpredictive abilityen
dc.subjectasymmetric effectsen
dc.subjectmaturity spliten
dc.subject.anzsrcFields of Research::38 - Economicsen
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380112 - Macroeconomics (incl. monetary and fiscal theory)en
dc.titleDebt Finance and Economic Activity in the Euro-Area: Evidence on Asymmetric and Maturity Effectsen
dc.typeDiscussion / Working Papersen
uc.collegeUC Business School
uc.departmentDepartment of Economics and Finance
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