The ECB Monetary Policy Strategy and the Money Market

'The Devil is in the Details, But so is Salvation': Different Approaches in Money Market Measurement

“…Central banks aim to steer short-term interest rates via monetary policy operations and signal the monetary policy stance (for example, see Gaspar, Perez-Quiros, and Sicilia, 2001). 4 Central banks set policy rates that are transmitted to the short-term interbank money market (see Nautz and Scheithauer, 2011).…”

It’s not time to make a change: Sovereign fragility and the corporate credit risk

“…On the day of the o¢ cial press release, …nancial markets may either be surprised by the decisions taken or have perfectly anticipated them. The (surprise) e¤ect of the decisions is assessed by looking at the changes in short-term interest rates or other securities'prices (bonds, stocks, exchange rates...) in a window around the event (Kuttner, 2001;Gaspar et al, 2001;Cochrane and Piazzesi, 2002;Gurkaynak et al, 2005;Javadi et al, 2018). In the same way, by comparing the corporate CDS spreads before the CRAs'announcements with those after the announcements, we can identify the surprise e¤ect of a sovereign downgrade delivery on corporate credit risk.…”