A discrete‐choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
研究了融资成本对公司债券发行概率的影响，利用1990-2014年美国5610次发行数据，扩展了共同相关效应估计量到离散选择情形，发现非金融企业债券收益率与发行负相关，且危机前效应更大。
Summary What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such as the global financial crisis. To account for these shocks, we extend the common correlated effects estimator to settings where outcomes are discrete. Both the asymptotic properties and the small‐sample behavior of this estimator are documented. We find that for non‐financial firms yields are negatively related to bond issuance but that the effect is larger in the pre‐crisis period.