A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
Lena Boneva () and
Oliver Linton ()
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Lena Boneva: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Authors registered in the RePEc Author Service: Lena Mareen Koerber
No 640, Bank of England working papers from Bank of England
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 5,610 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 sample behaviour 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.
Keywords: Heterogeneous panel data; discrete choice models; capital structure (search for similar items in EconPapers)
JEL-codes: C23 C25 G32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Working Paper: A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance (2017)
Working Paper: A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0640
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