Spencer, Peter orcid.org/0000-0002-5595-5360 (2024) Measuring the impact of unconventional monetary policies on the US banking and bond markets at the lower bound. Journal of Money Credit and Banking. ISSN 0022-2879
Abstract
The effects of credit and monetary policy shocks are analyzed using a shadow rate model of the Euro-Dollar and Treasury bond markets. This 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 Eurodollar rate is a useful indicator of the effect of default risk on the economy.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2024 The Ohio State University. This is an author-produced version of the published paper. Uploaded in accordance with the University’s Research Publications and Open Access policy. |
Keywords: | Term Structure, TED spread, Global Financial Crisis, Monetary Policy. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 09 Feb 2024 12:50 |
Last Modified: | 02 Apr 2025 23:27 |
Published Version: | https://doi.org/10.1111/jmcb.13201 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1111/jmcb.13201 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:209012 |
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