在下限衡量非常规货币政策对美国银行和债券市场的影响

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-09-11 DOI:10.1111/jmcb.13201

PETER SPENCER

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引用次数: 0

摘要

我们利用欧洲美元（ED）和国债市场的影子利率模型分析了信贷和货币政策冲击的影响。该模型使用了两个市场共有的三个因子和两个捕捉利率差期限结构的利差因子。结果表明，2008 年雷曼违约事件后的政策措施在抑制银行市场风险溢价方面的效果远大于国债市场，而且除了影子政策利率外，欧洲美元影子利率也是违约风险对经济影响的一个有用指标。

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Measuring the Impact of Unconventional Monetary Policies on the U.S. Banking and Bond Markets at the Lower Bound

The effects of credit and monetary policy shocks are analyzed using a shadow rate model of the Eurodollar (ED) and Treasury bond markets. This model uses three factors common to both markets and two spread factors that capture the term structure of the rate differential. The results show that the policy initiatives that followed the Lehman default in 2008 were much more effective in restraining risk premiums in banking markets than in the Treasury market and that, besides the shadow policy rate, the shadow ED rate is a useful indicator of the effect of default risk on the economy.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.