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산업경제연구소에서 2023년 제8차 세미나 일정을 안내 드립니다.

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발표 논문 제목

 : U.S. Monetary Policy Spillover to Emerging Economy Corporate Bond Market

일시

 : 2023. 11. 16. (목) 15:00 - 16:00

장소

 : 9호관 210호 (경제학과 대학원 세미나실)

발표자

 : 박종호 교수(숭실대학교 경영학과)

논문 초록

 : Motivated by the considerable increase in the foreign debt by the corporate sector of the emerging economies (EME), we investigate the spillover of the U.S. monetary policy shocks to the EME corporate bond spreads. In addition, we study the channels through which the U.S. monetary shocks affect the borrowing costs by the EME firms in the international financial markets. The U.S. monetary policy is identified using a daily frequency data of the Federal Funds rate and its futures price. We then take an event study approach to quantify the causal effect of the U.S. monetary policy on the EME corporate bond spreads. A 100 basis points unanticipated increase in the Federal Funds rates at the day of the FOMC meeting results in a 80-110bp increase in corporate bond spreads. Merging the spread data with the corporate balance sheet data, we also show that the financial accelerator channel is present in the transmission of the U.S. monetary policy shocks.

기타 문의

 : 산업경제연구소 간사 윤영진 (Tel. 032-860-7780 / Mail. youngjin@inha.ac.kr)