This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information … from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of …

active. Different combinations of national fiscal policies and a common fiscal policy with "Eurobonds" amount to active …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of …

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of … government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results … show: significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in …

developments in sovereign spreads: (i) an aggregate regional risk factor, (ii) the country-specific credit risk and (iii) the … pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings … have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating …

This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and … ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry …