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Credit Spread Changes and Equity Volatility: Evidence from Daily Data

โœ Scribed by Ann Marie Hibbert; Ivelina Pavlova; Joel Barber; Krishnan Dandapani


Book ID
109178367
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
179 KB
Volume
46
Category
Article
ISSN
0732-8516

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Credit Spread Changes and Monetary Polic
โœ XIAONENG ZHU* ๐Ÿ“‚ Article ๐Ÿ“… 2012 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 658 KB

This study analyzes the impact of monetary policy actions on credit spreads of various rating categories and maturities, using federal funds futures to distinguish between anticipated and unanticipated changes in the federal funds rate. Two proxies for monetary policy shocks are the surprise change