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
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)
References: Add references at CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://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 ().