Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW)

 

European Institute for International Economic Relations

 

Seiteninhalt

Samir Kadiric/Arthur Korus: The Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets

Samir Kadiric/Arthur Korus: The Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets

 

JEL Classification: C32, G12, G14, G32
Key Words: Corporate Bond Yield Spreads, Credit Risk, Brexit, Event-study

 

Summary

Using event-study techniques we investigate the impact of Brexit-related events on the corporate bond yield spreads in the United Kingdom and euro area, respectively. We want to find out whether Brexit-related news, including the Brexit referendum itself, had an impact on the risk conditions in those two corporate bond markets. Our estimation results indicate that the announcement of the referendum result is associated with increasing credit spreads in the UK and EA. However, only the actual announcement of the UK referendum result itself had an influence on the credit spreads. Furthermore, we distinguish between the financial and the non-financial economic sectors in order to analyze more specific sector-related effects of the referendum event. Our estimation results suggest that UK credit spreads were more strongly influenced by the announcement of the results of the Brexit referendum than credit bond spreads in the euro area were. Finally, we split our sample into pre-referendum and post-referendum periods to consider the potential changing evaluation of the determinants of corporate bond spreads due to altering risk pricing triggered by the Brexit referendum result. We find that the effect of credit default risk is far stronger and plays a significant role in the post-referendum period in UK and EA, respectively.

Download the paper

Aktuelles

  • Pressemitteilung: BREXIT - ernste Probleme danach
    2. BREXIT-Verlängerung, ernste Probleme für Europa drohen; zudem drohen EU-Asean-Konflikte durch...[mehr]
  • Pressemitteilung: Vorschlag für die Überwindung des BREXIT-Chaos
    UK sollte rasch Nachwahlen zur Europa-Wahl durchführen, nur dann kann großzügig...[mehr]
  • EIIW Newsletter 2018
    Content: Editorial by Prof. Welfens: New Research and UN Policy PerspectivesBrexit Monitor...[mehr]
  • New BREXIT SPECIAL ISSUE International Economics and Economic Policy
    A new BREXIT-related SPECIAL ISSUE of the journal International Economics and Economic Policy has...[mehr]
  • Special Issue
    Im März 2019 erscheint das neue Special Issue des Journals International Economics and Economic...[mehr]