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Foreign Monetary Policy and Firms' Default Risk

Research output: Working paper

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Foreign Monetary Policy and Firms' Default Risk. / Groba, Jonatan; Serrano, Pedro.
Lancaster: Lancaster University, Department of Accounting and Finance, 2017.

Research output: Working paper

Harvard

Groba, J & Serrano, P 2017 'Foreign Monetary Policy and Firms' Default Risk' Lancaster University, Department of Accounting and Finance, Lancaster. <http://ssrn.com/abstract=2744607>

APA

Groba, J., & Serrano, P. (2017). Foreign Monetary Policy and Firms' Default Risk. Lancaster University, Department of Accounting and Finance. http://ssrn.com/abstract=2744607

Vancouver

Groba J, Serrano P. Foreign Monetary Policy and Firms' Default Risk. Lancaster: Lancaster University, Department of Accounting and Finance. 2017 Oct 10.

Author

Groba, Jonatan ; Serrano, Pedro. / Foreign Monetary Policy and Firms' Default Risk. Lancaster : Lancaster University, Department of Accounting and Finance, 2017.

Bibtex

@techreport{bd34300283b248dc8d89f14683e66ba1,
title = "Foreign Monetary Policy and Firms' Default Risk",
abstract = "This study documents the relationship between foreign monetary policy and firms' ex-ante forward-looking default probability measures. We analyze market based measures of default for large non-financial firms in the US and the EMU area. We propose two transmission mechanisms of foreign policy shocks: the foreign demand channel and the foreign debt channel. We show that foreign monetary policy influences firms' default probability largely through the foreign demand channel. We find that the foreign debt channel only played a role for European firms during the early 2000s due to the higher exposure to USD denominated obligations. These results highlight the need for macro-prudential authorities to pay more attention to the foreign demand channel in the struggle against large default events, as the results show that the foreign debt channel is less relevant.",
keywords = "Foreign Monetary Policy, Default Risk, Foreign Demand, Foreign Debt",
author = "Jonatan Groba and Pedro Serrano",
year = "2017",
month = oct,
day = "10",
language = "English",
publisher = "Lancaster University, Department of Accounting and Finance",
type = "WorkingPaper",
institution = "Lancaster University, Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Foreign Monetary Policy and Firms' Default Risk

AU - Groba, Jonatan

AU - Serrano, Pedro

PY - 2017/10/10

Y1 - 2017/10/10

N2 - This study documents the relationship between foreign monetary policy and firms' ex-ante forward-looking default probability measures. We analyze market based measures of default for large non-financial firms in the US and the EMU area. We propose two transmission mechanisms of foreign policy shocks: the foreign demand channel and the foreign debt channel. We show that foreign monetary policy influences firms' default probability largely through the foreign demand channel. We find that the foreign debt channel only played a role for European firms during the early 2000s due to the higher exposure to USD denominated obligations. These results highlight the need for macro-prudential authorities to pay more attention to the foreign demand channel in the struggle against large default events, as the results show that the foreign debt channel is less relevant.

AB - This study documents the relationship between foreign monetary policy and firms' ex-ante forward-looking default probability measures. We analyze market based measures of default for large non-financial firms in the US and the EMU area. We propose two transmission mechanisms of foreign policy shocks: the foreign demand channel and the foreign debt channel. We show that foreign monetary policy influences firms' default probability largely through the foreign demand channel. We find that the foreign debt channel only played a role for European firms during the early 2000s due to the higher exposure to USD denominated obligations. These results highlight the need for macro-prudential authorities to pay more attention to the foreign demand channel in the struggle against large default events, as the results show that the foreign debt channel is less relevant.

KW - Foreign Monetary Policy

KW - Default Risk

KW - Foreign Demand

KW - Foreign Debt

M3 - Working paper

BT - Foreign Monetary Policy and Firms' Default Risk

PB - Lancaster University, Department of Accounting and Finance

CY - Lancaster

ER -