An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone

Kanga, Désiré; Levieuge, Grégory

doi:10.24187/ecostat.2017.494t.1920

Cited by 3 publications

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References 26 publications

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“…Besides this extensive literature, only a few papers attempted at showing the link between non-financial corporations' investments in the EMU and the ECB's monetary policy. Kanga and Levieuge (2017) assess the effects of the different ECB's unconventional monetary policies on the cost of credit of non-financial firms in each EMU country. Daetz et al (2016) focus, albeit not exclusively, on the impact of the ECB's LTROs on non-financial firms' cash holdings and concluded that the ECB's measures were most beneficial to corporations from peripheral countries.…”

Section: The Ecb's Monetary Policies' Effects On Non-financial Firmsmentioning

confidence: 99%

Has the ECB’s monetary policy prompted companies to invest, or pay dividends?

2019

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Institute of Applied Economics (IREA) in Barcelona was founded in 2005, as a research institute in applied economics. Three consolidated research groups make up the institute: AQR, RISK and GiM, and a large number of members are involved in the Institute. IREA focuses on four priority lines of investigation: (i) the quantitative study of regional and urban economic activity and analysis of regional and local economic policies, (ii) study of public economic activity in markets, particularly in the fields of empirical evaluation of privatization, the regulation and competition in the markets of public services using state of industrial economy, (iii) risk analysis in finance and insurance, and (iv) the development of micro and macro econometrics applied for the analysis of economic activity, particularly for quantitative evaluation of public policies. IREA Working Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. For that reason, IREA Working Papers may not be reproduced or distributed without the written consent of the author. A revised version may be available directly from the author. Any opinions expressed here are those of the author(s) and not those of IREA. Research published in this series may include views on policy, but the institute itself takes no institutional policy positions.

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Section: The Ecb's Monetary Policies' Effects On Non-financial Firmsmentioning

confidence: 99%

Has the ECB’s monetary policy prompted companies to invest, or pay dividends?

2019

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The impact of the ECB’s monetary policy on corporate borrowing costs

2021

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This paper examines the impact of the ECB’s monetary policy on corporate borrowing costs. We use an event study method to assess and compare the effects of both conventional and unconventional monetary policy on Germany and French corporate bond market (credit spreads). The sample of our research consists of daily data collected during the period from 04 January 1999 to 27 February 2015. This period spans the pre-crisis which begins when the ECB has launched the Economic and Monetary Union (EMU) and became responsible for the monetary policy in the euro area. We find significantly negative relation between conventional surprise and corporate credit spreads. Moreover, we find that a raise in German non-financial credit spreads and French credit spreads domestic in response to the SMP announcement. The OMT lowers the German non-financial credit spreads, while it raises German bank credit spreads and French corporate credit spreads both domestic and bund for two sectors. Finally, the LTROs are associated with a raise in corporate credit spreads. Our findings are confirmed in robustness checks by changing the non-standard monetary policy announcements with monetary policy event dummies used as one variable.

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Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review

Kampl¹

2021

Credit and Capital Markets – Kredit und Kapital

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Following the financial crisis in 2008, the ECB implemented various unconventional policy measures to respond to the tensions on the market. These measures had a significant impact and short-term effects on financial markets. This literature review provides a extensive overview of the empirical literature dealing with the short-term effects of this unconventional monetary policy using event studies. Furthermore, a methodological analysis of conducted event studies is carried out. First, we review empirical event studies focusing on the effects on the bond market, the stock market, as well as on international spill-over effects. Secondly, we carry out a methodological analysis of event studies that estimate the announcement effects of the ECB’s unconventional measures. In this context, the analysis provides insight into the process of determining relevant events, the categorization of those, measuring the surprise component, and determining control variables. By comparing the different approaches applied, we give a comprehensive overview of similarities as well as differences in the methodology used.

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An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone

Cited by 3 publications

References 26 publications

Has the ECB’s monetary policy prompted companies to invest, or pay dividends?

Has the ECB’s monetary policy prompted companies to invest, or pay dividends?

The impact of the ECB’s monetary policy on corporate borrowing costs

Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review

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