Monetary Policy Surprises and Corporate Credit Spreads

2020 ◽  
Author(s):  
Difang Huang ◽  
Xinjie Wang ◽  
Zhaodong Zhong
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Corporate Credit

The impact of the ECB’s monetary policy on corporate borrowing costs

2021 ◽  
pp. 2150014
Author(s):  
Houssam Bouzgarrou ◽  
Siwar Ben Afia ◽  
Abdelkader Derbali
Keyword(s):  
Monetary Policy ◽  
Corporate Bond ◽  
Credit Spreads ◽  
Borrowing Costs ◽  
Corporate Bond Market ◽  
Corporate Credit ◽  
Daily Data ◽  
Corporate Borrowing ◽  
Financial Credit ◽  
The Impact

This paper examines the impact of the ECB’s monetary policy on corporate borrowing costs. We use an event study method to assess and compare the effects of both conventional and unconventional monetary policy on Germany and French corporate bond market (credit spreads). The sample of our research consists of daily data collected during the period from 04 January 1999 to 27 February 2015. This period spans the pre-crisis which begins when the ECB has launched the Economic and Monetary Union (EMU) and became responsible for the monetary policy in the euro area. We find significantly negative relation between conventional surprise and corporate credit spreads. Moreover, we find that a raise in German non-financial credit spreads and French credit spreads domestic in response to the SMP announcement. The OMT lowers the German non-financial credit spreads, while it raises German bank credit spreads and French corporate credit spreads both domestic and bund for two sectors. Finally, the LTROs are associated with a raise in corporate credit spreads. Our findings are confirmed in robustness checks by changing the non-standard monetary policy announcements with monetary policy event dummies used as one variable.

scholarly journals Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs

2019 ◽  
Vol 11 (1) ◽  
pp. 157-192 ◽  
Author(s):  
Dario Caldara ◽  
Edward Herbst
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Monetary Shocks ◽  
Structural Vector Autoregression ◽  
Monetary Policy Shocks ◽  
Real Activity ◽  
Financial Conditions ◽  
Corporate Credit ◽  
Policy Shocks ◽  
Jel C32

In this paper, we develop a Bayesian framework to estimate a proxy structural vector autoregression to identify monetary policy shocks. We find that during the Great Moderation period, monetary policy shocks induce a persistent decline in real activity and tightening in financial conditions. Central to this result is a systematic component of monetary policy characterized by a direct and economically significant reaction to changes in corporate credit spreads. The failure to account for this endogenous reaction induces an attenuation in the response of all variables to monetary shocks, a result that also applies to the narrative identification of Romer and Romer (2004). (JEL C32, E23, E32, E44, E52, E58)

Sarbanes-Oxley Act and Corporate Credit Spreads

2009 ◽  
Author(s):  
Ali Nejadmalayeri ◽  
Takeshi Nishikawa ◽  
Ramesh P. Rao
Keyword(s):  
Credit Spreads ◽  
Corporate Credit ◽  
Sarbanes Oxley

DID THE FED RESPOND TO LIQUIDITY SHORTAGE EPISODES DURING THE GREAT DEPRESSION?

2018 ◽  
Vol 22 (7) ◽  
pp. 1727-1749 ◽  
Author(s):  
Olivier Damette ◽  
Antoine Parent
Keyword(s):  
New York ◽  
Monetary Policy ◽  
Great Depression ◽  
Liquidity Risk ◽  
Conventional Wisdom ◽  
Credit Spreads ◽  
Open Market ◽  
The Great Depression ◽  
Econometric Evidence ◽  
Open Markets

The October 1929 crash led to a complete freeze of New York open markets. Studying the Fed monetary policy conduct in a nonlinear framework, using credit spreads between open market rates and the Fed's instrument rates as a proxy for liquidity risk, we present econometric evidence that the Fed was well aware of such risks as early as 1930, reacted to the financial stress and altered its monetary policy in consequence. Our outcomes revisit conventional wisdom about the presumed passivity of the Fed throughout the 30s.

scholarly journals THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS

2012 ◽  
Vol 35 (4) ◽  
pp. 581-613 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Badye Essid
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Effect Of Monetary Policy
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