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Estimating the Impact of Quantitative Easing On Credit Risk through an ARMA-GARCH Model

Lucian Albu, Radu Lupu (), Adrian Cantemir Calin and Oana Popovici

Journal for Economic Forecasting, 2014, issue 3, 39-50

Abstract: In this paper we analyze the impact of quantitative easing policies issued by the European Central Bank, the Bank of England, the Federal Reserve and the Bank of Japan on credit risk, in nine states belonging mainly to the Central and Eastern European area. We use an ARMA-GARCH model to obtain abnormal returns and squared abnormal returns and we compute the values of the t test for each category of returns. The analysis shows that the QE events belonging to the four issuers have an important effect on credit risk in the case of the countries considered in this study.

Keywords: credit risk; quantitative easing; credit default swap; Central and Eastern European countries; ARMA-GARCH (search for similar items in EconPapers)
JEL-codes: G14 F34 E44 E52 E58 H63 (search for similar items in EconPapers)
Date: 2014
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Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

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