2019
DOI: 10.2139/ssrn.3324126
|View full text |Cite
|
Sign up to set email alerts
|

The Short-Run Effect of Monetary Policy Shocks on Credit Risk: An Analysis of the Euro Area

Abstract: We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of non-financial corporations. This dysfunctionality of the credit channel is driven by the crisis-dominated post-2009 period. During this period, market participants may have interpreted expansionary monetary policy shocks as a… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

0
0
0

Publication Types

Select...

Relationship

0
0

Authors

Journals

citations
Cited by 0 publications
references
References 28 publications
0
0
0
Order By: Relevance

No citations

Set email alert for when this publication receives citations?