Monetary Policy and Corporate Bond Returns

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

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...

متن کامل

U.S Monetary Policy and Foreign Bond Yields

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 کامل

Credit 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 کامل

Liquidity 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 کامل

Unconventional 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...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2016

ISSN: 1556-5068

DOI: 10.2139/ssrn.2722535