To QE or Not to QE? The Japanese Experience

To QE or Not to QE? The Japanese Experience

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 o...

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Bibliographic Details
Main Authors: Radu Lupu, Adrian Cantemir Calin
Format: Article
Language:English
Published: Faculty of Economic Sciences, Hyperion University, Bucharest 2014-06-01
Series:Hyperion Economic Journal
Subjects:
quantitative easing
credit risk
CDS
Bank of Japan
Online Access:http://hej.hyperion.ro/articles/2(2)_2014/HEJ%20nr2(2)_2014_A1Lupu.pdf
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Summary: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.
ISSN:2343-7995

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