The Empirical Study on the Effects of Monetary Policy

• 발행기관: 한국자료분석학회
• 저자명: Gunho Bae
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.5, 2347~2355쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.10.30

영문 초록

This study examined implication of the credit view of monetary policy, that for changes in interest rates the cost of external finance responds differently for differently placed borrowers. Monetary tightening is found to significantly raise the default risk on Baa bonds absolutely and relative to the default risk on Aaa bonds. Monetary easing however, does not have a statistically significant effect on either of these variables. Results suggest that an asymmetry exists in monetary policy, in that increase in the Federal funds rate significantly raise the default risk on Baa bonds absolutely and relative to the default risk on Aaa bonds. Despite of these results, to make these findings robust, future work should be presenting evidence that default risk affects investment.

목차

1. Introduction

2. Model specification

3. Results

4. Concluding Remarks

References

키워드

monetary policy shocks Federal funds rate credit channel asymmetry effect