Monetary policy and asymmetric response in default risk

被引：12

作者：

Kim, J

Ni, S ^{[1
]}

Ratti, RA

机构：

[1] Univ Missouri, Dept Econ, Columbia, MO 65211 USA

[2] Hyundai Res Inst, Seoul, South Korea

来源：

ECONOMICS LETTERS | 1998年 / 60卷 / 01期

关键词：

asymmetry; default risk; monetary policy;

D O I：

10.1016/S0165-1765(98)00093-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this empirical study, monetary tightening is found to significantly raise the default risk on Baa bonds absolutely and relative to the default risk on Aaa bonds. Monetary easing, however, does not have a statistically significant effect on either of these variables. (C) 1998 Elsevier Science S.A.

引用

页码：83 / 90

页数：8

共 12 条

[1]

BERNANKE BS, 1992, AM ECON REV, V82, P901

[2]

BOSCHEN JF, 1995, ECON INQ, V33, P24, DOI 10.1111/j.1465-7295.1995.tb01844.x

[3]

CECCHETTI S, 1995, REV FED RESERVE, V77, P83

[4]

GERTLER M, 1988, FED BANK KS, P33