文章基本信息

标题：Discussion
本地全文：下载
作者：Jialin Yu
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2013
出版社：IJCB Publications Fulfillment
摘要：This paper studies the effect on credit spreads from the various “unconventional” monetary policies, conventional monetary policy, and fiscal policies introduced during the 2007–09 financial crisis period. Based on credit-spread changes on policy announcement date, policy implementation date, and policy implementation size over time, the paper concludes that the multitude of “unconventional” monetary policies were modestly effective in reducing market spreads; fiscal policy announcements did not reduce credit spreads; and increases in the Taylor-rule residual (a measure of conventional monetary policy) is associated with an increase in credit spreads. Credit spreads are measured in this paper by LIBOR-OIS spread, repo-OIS spread, and corporate-Treasury bond spread.