In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...

Bei der Kritik an den Rating-Agenturen wird häufig missachtet, dass ihre Macht weitgehend politikgemacht ist. Es sind der Staat und die EZB, die über Gesetze und Regulierungen den Ratings eine Multiplikatorwirkung zuschreiben. Dieser Beitrag skizziert anhand der Länder-ratings die...

This paper analyzes the interest rate setting of the European Central Bank (ECB) both before and after the outbreak of the global financial crisis. In the current monetary policy literature, researchers typically select one Taylor rule-based model in order to analyze the interest rate setting of...

We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary policy. We find that an identically-sized policy...

We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...