Downloads
cwp021717.pdf
PDF | 735.73 KB
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 effect is larger in the pre-crisis period.
Authors
Oliver Linton
Lena Boneva (Körber)
Working Paper details
- DOI
- 10.1920/wp.cem.2017.0217
- Publisher
- The IFS
Suggested citation
Boneva (Körber), L and Linton, O. (2017). A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. London: The IFS. Available at: https://ifs.org.uk/publications/discrete-choice-model-large-heterogeneous-panels-interactive-fixed-effects-application (accessed: 20 April 2024).
More from IFS
Understand this issue
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
Raising revenue from closing inheritance tax loopholes
18 April 2024
Sure Start achieved its aims, then we threw it away
15 April 2024
Policy analysis
IFS International Research Fellow Olympia Bover wins Rei Jaume I Prize
12 June 2023
IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
Academic research
Inaugural IFS postdoc workshop
Household responses to trade shocks
26 March 2024
Sample composition and representativeness on Understanding Society
2 February 2024