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U.S. Monetary Policy Transmission and Liquidity Risk Premia Around the World
Karolyi, George Andrew - 2019
We uncover a link between U.S. monetary policy and liquidity risk premia in stock markets around the world. Liquidity … points decline in the liquidity risk premium. This effect is concentrated among high liquidity risk stocks and is more acute ….S. monetary policy shocks affect the pricing of liquidity risk around the world and highlight the importance of a “bank channel …
Persistent link: https://www.econbiz.de/10012869570
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Channels of US monetary policy spillovers to international bond markets
Albagli, Elias; Ceballos, Luis; Claro, Sebastián; … - 2018
Persistent link: https://www.econbiz.de/10011867286
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Channels of US monetary policy spillovers to international bond markets
Albagli, Elias; Ceballos, Luis; Claro, Sebastián; … - In: Journal of financial economics 134 (2019) 2, pp. 447-473
Persistent link: https://www.econbiz.de/10012166851
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Spillovers of US unconventional monetary policy to Asia : the role of long-term interest rates
Miyajima, Ken; Mohanty, M. S.; Yetman, James - 2014
Persistent link: https://www.econbiz.de/10010495633
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Financial frictions in data : evidence and impact
Taheri Sanjani, Marzie - 2014
Persistent link: https://www.econbiz.de/10010479493
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The credit channel in US economic history
Hendricks, Torben; Kempa, Bernd - In: Journal of policy modeling : JPMOD ; a social science … 31 (2009) 1, pp. 58-68
Persistent link: https://www.econbiz.de/10003809493
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10003972695
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10003964379
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Monetary policy, bank lending, and the risk-pricing channel
Kishan, Ruby P.; Opiela, Timothy P. - In: Journal of money, credit and banking : JMCB 44 (2012) 4, pp. 573-602
Persistent link: https://www.econbiz.de/10009575822
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Monetary policy, housing booms, and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - In: Macroeconomic dynamics 17 (2013) 4, pp. 830-860
Persistent link: https://www.econbiz.de/10009774981