منابع مشابه
The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran
After the recent financial crisis, especially the financial crisis 2008, This raises the important question of what is the role of monetary policy in occurrence and prevention of the financial instability? so, this paper investigate the dynamics impact of monetary policy on the stock market returns and instability using Structural Vector Autoregression (SVARs) model During the period 1992:q2...
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This paper compares the effects of conventional U.S. monetary policy on foreign government bonds yields with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound in late 2008. We measure the U.S. monetary policy surprises using narrow-window changes in the 2-year Treasury yield bracketing FOMC announcements. The results indicate that an expa...
متن کاملCredit spreads, daily business cycle, and corporate bond returns predictability∗
The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this finding. Once I project spreads on these two risk factors, which are readily measurable with the daily frequency, in addition to corporate credit risk, the forecasting power of the residual spread red...
متن کاملLiquidity risk and expected corporate bond returns ¬リニ
This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default ...
متن کاملUnconventional monetary policies and the corporate bond market
The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation ‘‘twist’’, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct ratingand maturity-based weekly bond portfolios using TRACE and simulate monetary policies as shocks to the Treasury yield curve. We find that none of the policies can p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2722535