This article studies the interrelation among the volumes of bonds and stocks issued by non-financial firms, and levels of industrial loans outstanding in the United States. These aggregates are co-integrated and characterized by asymmetric volatility. Their co-movements are driven by financial indicators such as the yield spread, size of loan market and market volatility. Bond and stock issuance are positively correlated, and even more so during the expansionary phase of the cycle. Loans outstanding and bond issuance are negatively correlated, and their substitutability increases in periods of economic downturn, highlighting the importance of bond markets to mitigate credit crunches.

Casalin, F., Dia, E. (2016). The dynamic interrelation between external finance and bank credit. APPLIED ECONOMICS, 48(3), 243-259 [10.1080/00036846.2015.1078442].

The dynamic interrelation between external finance and bank credit

DIA, ENZO
2016

Abstract

This article studies the interrelation among the volumes of bonds and stocks issued by non-financial firms, and levels of industrial loans outstanding in the United States. These aggregates are co-integrated and characterized by asymmetric volatility. Their co-movements are driven by financial indicators such as the yield spread, size of loan market and market volatility. Bond and stock issuance are positively correlated, and even more so during the expansionary phase of the cycle. Loans outstanding and bond issuance are negatively correlated, and their substitutability increases in periods of economic downturn, highlighting the importance of bond markets to mitigate credit crunches.
Articolo in rivista - Articolo scientifico
co-movement; credit market; multivariate GARCH; Security issuance;
Security issuance; credit market; multivariate GARCH; co-movement
English
2016
48
3
243
259
none
Casalin, F., Dia, E. (2016). The dynamic interrelation between external finance and bank credit. APPLIED ECONOMICS, 48(3), 243-259 [10.1080/00036846.2015.1078442].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/88740
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