The balance sheet channel of monetary policy: First empirical evidence for the euro area corporate bond market

International Journal of Finance and Economics

Volumn 9, Issue 3, 2004, Pages 219-228

  De Bondt, Gabe ^a  

^a EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Balance sheet channel; Corporate bond spreads; Euro area

Indexed keywords

FINANCIAL MARKET; MONETARY POLICY; MONETARY UNION;

EURASIA; EUROPE;

EID: 3943091767     PISSN: 10769307     EISSN: None     Source Type: Journal    
DOI: 10.1002/ijfe.246     Document Type: Article

References (28)

1. Athanassakos G, Carayannopoulos P. 2001. An empirical analysis of the relationship of bond yield spreads and macro-economic factors. Applied Financial Economics 11: 197-207.
2. Bernanke BS, Blinder AS. 1988. Credit, money, and aggregate demand. American Economic Review 78(2): 435-439.
3. Bernanke BS, Gertler M. 1995. Inside the black box: the credit channel of monetary policy transmission. Journal of Economic Perspectives 9(1): 27-48.
4. Bernanke BS, Gertler M, Gilchrist S. 1996. The financial accelerator and the flight to quality. Review of Economics and Statistics 78: 1-15.
5. Chan-Lau JA, Ivaschenko IV. 2001. Corporate bond risk Lind real activity: an empirical analysis of yield spreads and their systematic components. IMF Working Paper, 01/158.
6. Collin-Dufresne P, Goldstein RS, Martin JS. 1999. The determinants of credit spread changes. Mimeo, November 9.
7. Cooper N, Hillman R, Lynch D. 2001. Interpreting movement in high-yield corporate bond market spreads. Bank of England Quarterly Bulletin 41: 110-120.
8. Davis EP, Fagan G. 1997. Are financial spreads useful indicators of future inflation and output growth in EU countries? Journal of Applied Econometrics 12(6): 701-714.
9. de Bondt GJ. 2000. Financial Structure and Monetary Transmission in Europe: A Cross-Country Study. Edward Elgar: Cheltenham, UK/Northampton, MA, USA.
10. de Bondt GJ, van Els PJA, Stokman ACJ. 1997. EUROMON: a macroeconometric multi-country model for the EU. DNB Staff Reports 17, De Nederlandsche Bank.
11. Dialynas CP, Edington DH. 1992. Bond yield spreads: a postmodern view. Journal of Portfolio Management 68-75
12. Duca JV. 1999. What credit market indicators tell us. Economic and Financial Review, Federal Reserve Bank of Dallas, Third Quarter, 2-13.
13. ECB. 2001. Characteristics of corporate finance in the euro area. Monthly, Bulletin, February, 37-50.
14. ECB. 2002. Financing and financial investment of the non-financial sectors in the euro area up to the end of 2001. Monthly Bulletin, Box 1, June, 12 15.
15. Elton EJ, Gruber MJ, Agrawal D, Mann C. 2001. Explaining the rate spread on corporate bonds. Journal of Finance 56(1): 247-277.
16. Engle RF, Granger CWJ. 1987. Co-integration and error-correction: representation, estimation and testing. Econometrica 55: 251-276.
17. Galati G, Tsatsaronis K. 2001. The impact of the euro on Europe's financial markets. BIS Working Paper 100.
18. Gertler M, Lown C. 1999. The information in the high-yield bond spread for the business cycle: evidence and some implications. Oxford Review of Economic Policy, 15(3): 132-150.
19. Gilchrist S, Zakrajšek E. 1995. The importance of credit for macroeconomic activitiy: identification through heterogeneity. In (eds), Is Bank Lending Important for the Transmission of Monetary Policy? Peek J, Rosengren ES. (eds). Federal Reserve Bank of Boston, Conference Series 39, June: 129-158.
20. Granger CWJ. 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37: 424-438.
21. Hamilton JD. 1994. Time Series Analysis. Princeton University Press: Princeton, NJ.
22. Hattori M, Koyama K, Yonetani T. 2001. Analysis of credit spread in Japan's corporate bond market. BIS Papers No. 5, The Changing Shape of Fixed Income Markets: A Collection of Studies by Central Bank Economists.
23. McAdam P, Morgan J. 2001. The monetary transmission mechanism at the euro-arca level: issues and results using structural macroeconomic models. ECB Working Paper 93, European Central Bank.
24. Mojon B, Peersman G. 2001. A VAR description of the effects of monetary policy in the individual countries of the euro area. ECB Working Paper 92, European Central Bank.
25. Peersman G, Smets F. 2001. The monetary transmission mechanism in the euro area: more evidence from VAR analysis. ECB Working Paper 91, European Central Bank.
26. Santillán J, Bayle M, Thygesen C. 2000. The impact of the euro on money and bond markets. ECB Occasional Paper 1, European Central Bank.
27. Stock JH, Watson MW. 2001. Forecasting output and inflation: the role of asset prices. NBER Working Paper 8180.
28. van Els P, Locarno A, Morgan J, Villetelle J-P. 2001. Monetary policy transmission in the euro area: what do aggregate and national structural models tell us? ECB Working Paper 94, European Central Bank.