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Heterogeneous effects of unconventional monetary policy on bond yields across the euro area
Demir, İshak; Eroğlu, Burak Alparslan; … - 2019
4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven different maturities. In identifying this impact, it adopts a novel econometric...
Persistent link: https://www.econbiz.de/10012147209
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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...
Persistent link: https://www.econbiz.de/10011874674
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Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280
Persistent link: https://www.econbiz.de/10009722093
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Persistence of volatility of sovereign credit risk in presence of structural breaks
Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27
Persistent link: https://www.econbiz.de/10010463011
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Credit risk and the transmission of interest rate shocks
Palazzo, Berardino; Yamarthy, Ram - In: Journal of monetary economics 130 (2022), pp. 120-136
Persistent link: https://www.econbiz.de/10013396267
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The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57
Persistent link: https://www.econbiz.de/10010344557
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Money market rates and retail interest regulation in China : the disconnect between interbank and retail credit conditions
Porter, Nathaniel John; Xu, TengTeng - 2013
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields …), and regulated interest rates (retail lending and deposit rates), reflecting China's gradual process of interest rate … liberalization. This paper investigates the main drivers of China's interbank rates by developing a stylized theoretical model of …
Persistent link: https://www.econbiz.de/10009757286
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Unconventional monetary policy and bond market connectedness in the new normal
Akovalı, Umut; Yılmaz, Kamil - 2021
Since the global financial crisis, major central banks gradually switched to unconventional monetary policies (UMPs) as part of their efforts to directly influence the long-term interest rates. This study analyzes the impact of conventional/unconventional monetary policies on sovereign bond...
Persistent link: https://www.econbiz.de/10012495030
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Heterogeneous effects of unconventional monetary policyon the bond yields across the euro area
Demir, İshak; Eroğlu, Burak Alparslan; … - 2021
This paper investigates the impact of the European Central Bank's unconventionalmonetary policies (UMP) between 2008-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis andVAR with heteroskadasiticy based identification....
Persistent link: https://www.econbiz.de/10012496467
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The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - 2015 - This version: November, 2015
Persistent link: https://www.econbiz.de/10011809312