Monetary Policy and Interest Rate Spreads

Nsafoah, Dennis; Serletis, Apostolos

doi:10.1007/s11079-019-09572-4

Cited by 3 publications

(1 citation statement)

References 23 publications

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“…It was found that in the context of fiscal consolidation, the most appropriate budgetary policy strategy was to cut non-distributive spending, as this increases GDP growth while reducing income inequality [56]. A study on the effects of monetary policy shocks and economic policy uncertainty on the main macroeconomic variables and interest rate spreads indicated that the term spreads, credit spreads, monetary policy shocks, and monetary policy uncertainty had statistically significant effects on all economic and financial variables [57]. Moreover, monetary policy had a more important and more persistent real impact on economic development [52].…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Potential Factors Influencing China’s Regional Sustainable Economic Growth

Sun

Agyeman

et al. 2021

Applied Sciences

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The purpose of this article is to screen out the most important factors affecting China’s economic growth. Based on a literature review and relevant financial theoretical knowledge, China’s economic growth factors are selected from international and domestic aspects. Four methods, including least squares estimation, stepwise regression, ridge regression estimation, and Lasso regression, are used to screen and optimize 12 variables and analyze the degrees of influence empirically. The study finds that consumption levels and the development of the tertiary industry play significant roles in promoting China’s economic growth. Additionally, financial development and industrialization promote China’s economic growth, although in a gradual manner.

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Section: Literature Reviewmentioning

confidence: 99%

Analysis of Potential Factors Influencing China’s Regional Sustainable Economic Growth

Sun

Agyeman

et al. 2021

Applied Sciences

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ESG ratings, monetary policy uncertainty, and bond issuance premium

Zhang

Gao

Wang

et al. 2022

Environ Sci Pollut Res

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Existing studies generally recognize the critical role played by macro monetary policy, of which the uncertainty will increase corporate bond issuance premiums at a micro level. However, relatively little is known about these relationships from the perspective of non-nancial information in corporation. So this study set out to do further exploration. We use the database to obtain information, including the bond issuance of A-share listed corporations in China during 2015 to 2020. The ndings suggest that high environmental, social, and governance (ESG) ratings from listed corporations signi cantly weaken the positive correlation between monetary policy uncertainty and bond issuance premiums. Speci cally, it has a positive information pricing effect on China's primary debt issuance market, as well as a mitigating impact on macro nancial policy risk. We also nd, through further mechanistic studies, that ESG ratings are more helpful in undermining the impact of monetary policy uncertainty on bond issuance premiums in the context of higher nancial information quality. Our ndings are conducive to enriching the research framework of the economic consequences of ESG ratings, meaningfully in uencing the growing literature that exposed the mechanism of bond issuance premiums, and further, verifying the interaction of information at different levels (macro vs micro) in asset pricing.

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Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

Yıldırım

İvrendi

2021

Financ Innov

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This study investigates the international spillover effects of US unconventional monetary policy (UMP)—frequently called large-scale asset purchases or quantitative easing (QE)—on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily data. Blinder (Federal Reserve Bank of St. Louis Rev 92(6): 465–479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums. Considering this argument and recent empirical evidence, we use two spreads as indicators of US UMP: the mortgage and term spreads. Based on data from 20 emerging and 20 advanced countries, our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread. Furthermore, the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

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Monetary Policy and Interest Rate Spreads

Cited by 3 publications

References 23 publications

Analysis of Potential Factors Influencing China’s Regional Sustainable Economic Growth

Analysis of Potential Factors Influencing China’s Regional Sustainable Economic Growth

ESG ratings, monetary policy uncertainty, and bond issuance premium

Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

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