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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.