Monetary policy and asymmetric response in default risk

Jaechil Kim; Shawn Ni; Ronald A. Ratti

doi:10.1016/S0165-1765(98)00093-7

Monetary policy and asymmetric response in default risk

Jaechil Kim, Shawn Ni, Ronald A. Ratti

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	83-90
Number of pages	8
Journal	Economics Letters
Volume	60
Issue number	1
DOIs	https://doi.org/10.1016/S0165-1765(98)00093-7
Publication status	Published - 1998

Keywords

asymmetry
default risk
monetary policy

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/S0165-1765(98)00093-7

Cite this

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title = "Monetary policy and asymmetric response in default risk",

abstract = "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.",

keywords = "asymmetry, default risk, monetary policy",

author = "Jaechil Kim and Shawn Ni and Ratti, {Ronald A.}",

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T1 - Monetary policy and asymmetric response in default risk

AU - Kim, Jaechil

AU - Ni, Shawn

AU - Ratti, Ronald A.

PY - 1998

Y1 - 1998

N2 - 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.

AB - 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.

KW - asymmetry

KW - default risk

KW - monetary policy

UR - http://handle.uws.edu.au:8081/1959.7/517032

U2 - 10.1016/S0165-1765(98)00093-7

DO - 10.1016/S0165-1765(98)00093-7

M3 - Article

SN - 0165-1765

VL - 60

SP - 83

EP - 90

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Monetary policy and asymmetric response in default risk

Abstract

Keywords

UN SDGs

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