| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19337 |
| 来源ID | Working Paper 19337 |
| The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk | |
| Simon Gilchrist; Egon Zakrajsek | |
| 发表日期 | 2013-08-16 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Estimating the effect of Federal Reserve's announcements of Large-Scale Asset Purchase (LSAP) programs on corporate credit risk is complicated by the simultaneity of policy decisions and movements in prices of risky financial assets, as well as by the fact that both interest rates of assets targeted by the programs and indicators of credit risk reacted to other common shocks during the recent financial crisis. This paper employs a heteroskedasticity-based approach to estimate the structural coefficient measuring the sensitivity of market-based indicators of corporate credit risk to declines in the benchmark market interest rates prompted by the LSAP announcements. The results indicate that the LSAP announcements led to a significant reduction in the cost of insuring against default risk--as measured by the CDX indexes--for both investment- and speculative-grade corporate credits. While the unconventional policy measures employed by the Federal Reserve to stimulate the economy have substantially lowered the overall level of credit risk in the economy, the LSAP announcements appear to have had no measurable effect on credit risk in the financial intermediary sector. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w19337 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577012 |
| 推荐引用方式 GB/T 7714 | Simon Gilchrist,Egon Zakrajsek. The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
