EconPapers    
Economics at your fingertips  
 

To QE or Not to QE? The Japanese Experience

Radu Lupu () and Adrian Cantemir Calin

Hyperion Economic Journal, 2014, vol. 2, issue 2, 3-10

Abstract: This paper studies the effect of a series of quantitative easing initiatives belonging to the Bank of Japan on Central and Eastern European sovereign CDSs. Using daily data for the 2005 – 2013 period and considering 23 announcements of QE initiatives we build an econometric event study approach in order to compute and investigate the abnormal returns induced by these announcements. The results indicate a strong effect of the Japanese QE policies on the CEE sovereign Credit Default Swaps.

Keywords: quantitative easing; credit risk; CDS; Bank of Japan (search for similar items in EconPapers)
JEL-codes: G14 F34 E44 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://hej.hyperion.ro/articles/2(2)_2014/HEJ%20nr2(2)_2014_A1Lupu.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hyp:journl:v:2:y:2014:i:2:p:3-10

Access Statistics for this article

Hyperion Economic Journal is currently edited by Iulian Panait

More articles in Hyperion Economic Journal from Faculty of Economic Sciences, Hyperion University of Bucharest, Romania Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania. Contact information at EDIRC.
Series data maintained by Iulian Panait ().

 
Page updated 2017-06-12
Handle: RePEc:hyp:journl:v:2:y:2014:i:2:p:3-10