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Monetary policy financial transmission and treasury liquidity premia

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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