Monetary policy announcement effects on U.S. corporate credit spreads

dc.contributorAalto Universityen
dc.contributorAalto-yliopistofi
dc.contributor.advisorNyberg, Peter
dc.contributor.authorKohonen, Kaarlo
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.date.accessioned2022-09-11T16:08:15Z
dc.date.available2022-09-11T16:08:15Z
dc.date.issued2022
dc.description.abstractDuring the last 15 years central banks have tried to stimulate economic output with unprec-edented measures and power, but have they succeeded in facilitating private borrowing for firms? In this thesis, I study the Federal Reserve’s monetary policy announcement effects on large U.S. corporates between 2003 and 2022 through credit default swap (CDS) spreads, to see how the announced measures are reflected in private borrowing costs. The company specific CDS data provides interesting insights to announcement reaction differences between companies with varying creditworthiness, dependence on external finance, and operating industries during different monetary policy regimes. I find that the first two factors have moderate and varying effects on spread changes, while operating industry does not. By separating the monetary policy shock effect from the announcement effect, I also find that the shock effect is likely dominated by an opposite effect from Fed revealing new information on its economic outlook, causing both the spreads and underlying Treasury yields to react contrary to monetary policy transmission theories.en
dc.format.extent66+14
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/116695
dc.identifier.urnURN:NBN:fi:aalto-202209115499
dc.language.isoenen
dc.locationP1 Ifi
dc.programmeFinanceen
dc.subject.keywordcredit spreadsen
dc.subject.keywordthe Federal Reserveen
dc.subject.keywordmonetary policy effectsen
dc.subject.keywordcredit default swapsen
dc.subject.keywordmonetary policy shocksen
dc.titleMonetary policy announcement effects on U.S. corporate credit spreadsen
dc.titleRahapolitiikkajulkistusten vaikutus yhdysvaltalaisten yritysten korkoeroihinfi
dc.typeG2 Pro gradu, diplomityöfi
dc.type.ontasotMaster's thesisen
dc.type.ontasotMaisterin opinnäytefi
local.aalto.electroniconlyyes
local.aalto.openaccessyes
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