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How does interest rate pass-through change over time? : rolling windows and the role of the credit risk premium in the pricing of Czech loans

Hromádková, Eva; Kubicová, Ivana; Saxa, Branislav - 2023

Persistent link: https://www.econbiz.de/10014443747

The Fed takes on corporate credit risk : an analysis of the efficacy of the SMCCF

Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2024 - This version: March 2024

This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across...

Persistent link: https://www.econbiz.de/10014529079

The Fed takes on corporate credit risk : an analysis of the efficacy of the SMCCF

Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - In: Journal of monetary economics 146 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015071289

Determinants of credit spreads - survey, analysis, outlook

Ruf, Thomas - 2006

Persistent link: https://www.econbiz.de/10014005343

Crossing the credit channel : credit spreads and firm heterogeneity

Cesa-Bianchi, Ambrogio - 2020

Persistent link: https://www.econbiz.de/10012211022

The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk … detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more …

Persistent link: https://www.econbiz.de/10013093081

Credit and liquidity risk in the determination of spread over business cycles

Rubik, Eduardo Medeiros; Sobreiro, Vinicius Amorim; … - In: International journal of financial innovation in … 3 (2021) 1, pp. 26-48

Persistent link: https://www.econbiz.de/10012514165

Informed corporate credit market before monetary policy surprises : explaining pre-FOMC stock market movements

Abdi, Farshid; Wu, Botao - 2018

We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices...

Persistent link: https://www.econbiz.de/10011993517

Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

Persistent link: https://www.econbiz.de/10001464294

Animal spirits and credit cycles

De Grauwe, Paul; Macchiarelli, Corrado - 2013

"tame the animal spirits". This has the effect of improving the tradeoff between inflation and output volatility. …

Persistent link: https://www.econbiz.de/10010210693