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  1. Firm financial conditions and the transmission of monetary policy
    Author: Ferreira, Thiago R. T.; Ostry, Daniel A.; Rogers, John A.
    Published: May 31, 2023
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 412
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Finance and economics discussion series ; 2023, 037
    Subjects: Monetary Policy; Investment; Credit Spreads; Excess Bond Premium; Firm Heterogeneity
    Scope: 1 Online-Ressource (circa 108 Seiten), Illustrationen
  2. Crossing the credit channel
    credit spreads and firm heterogeneity
    Author: Anderson, Gareth; Cesa-Bianchi, Ambrogio
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms... more

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    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results suggest that frictions in the financial intermediation sector play a crucial role in shaping the transmission mechanism of monetary policy

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513563336
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    Series: IMF working paper ; WP/20, 267
    Subjects: monetary policy; heterogeneity; credit spreads; excess bond premium; credit channel; financial accelerator; event study; Credit Channel; Credit Spreads; Excess Bond Premium; Heterogeneity; Monetary Policy
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  3. Crossing the credit channel
    credit spreads and firm heterogeneity
    Author: Anderson, Gareth; Cesa-Bianchi, Ambrogio
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms... more

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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results suggest that frictions in the financial intermediation sector play a crucial role in shaping the transmission mechanism of monetary policy

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513563336
    Other identifier:
    Series: IMF working paper ; WP/20, 267
    Subjects: monetary policy; heterogeneity; credit spreads; excess bond premium; credit channel; financial accelerator; event study; Credit Channel; Credit Spreads; Excess Bond Premium; Heterogeneity; Monetary Policy
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  4. News shocks under financial frictions
    a comment on Görtz et al. (2022)
    Author: Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan
    Published: August 2023
    Publisher:  Institute for Replication, Essen, Germany

    Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead... more

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    Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their estimated impulse responses functions show that a positive news shock significantly decreases credit market spreads and increases credit market supply. They also find that a shock that explains the maximum of the FEV of the "excess bond premium" (EBP) (Gilchrist and Zakrajsek 2012) causes similar responses. These results are consistent with an estimated DSGE model with financial frictions. We estimate the main IRFs of the study using the original data and a frequentist estimation approach. We obtain similar point estimates for the dynamic responses to TFP news and EBP max-share shocks. We also update their macroeconomic and financial time series, as some of the data has been revised substantially since their original estimate. We use the updated data to re-estimate the above-mentioned IRFs, and we find that the results are robust to this change in the data. Finally, we investigate the computational reproducibility of their DSGE results, and find that their provided code (consistent with warnings in their README file) does not execute in the most recent version of Dynare or Matlab. Using the version indicated in their replication files, we encounter issues estimating the posterior mode.

     
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    Source: Union catalogues
    Contributor: Görtz, Christoph (VerfasserIn des Bezugswerks); Tsoukalas, John D. (VerfasserIn des Bezugswerks); Zanetti, Francesco (VerfasserIn des Bezugswerks)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/275681
    Series: I4R discussion paper series / Institute for Replication ; no. 51
    Subjects: Replication; News Shocks; Financial Frictions; Excess Bond Premium
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen