I would like to estimate a model comparable to Sims & Wu (2021) published in the JME using data for the Euro area.
In order to consider the impact of ECB QE on corporate bond yields in the euro area it would be appropriate to have something like an overall measure of the yield on BBB-rated (or Baa-rated) euro area corporate bonds.
I know that some studies rely on proprietary data like:
Corporate bond rate; yield on BBB-rated euro area corporate 7 to 10-year bond
Is someone in the community aware of a reliable and free alternative?