Bond Spreads and Economic Activity in Eight European Economies
利用八个欧洲国家的公司债券数据，研究发现债券利差对未来1-8个季度的实际经济活动有显著负向关系，且该关系在控制货币政策紧缩和领先指标后依然稳健，但不同欧洲国家的敏感度存在差异。
We provide new insights into the relationship between financial market tightness and real activity, using a new database of corporate bonds issued in eight European countries. Bond spreads have a significant negative relationship with four real activity variables at horizons 1–8 quarters ahead. The relationship is robust to adding measures of monetary policy tightness and leading indicators, providing strong support for models previously only evaluated on US data. A subset of northern European countries have similar sensitivity of real GDP to bond spreads, but others have greater sensitivity to bond spreads, revealing diverse responses in Europe to financial market tightness.