Přednáška na téma Corporate Bond Market and The FOMC Cycle
19. ledna
2023
V rámci Research Seminar Series (RSS) na VŠE vystoupí jako host Fakulty financí a účetnictví, katedry bankovnictví a pojišťovnictví Prof. Gonul Colak (University of Sussex, UK + Hanken School of Economics, Finsko) s přednáškou na téma Corporate Bond Market and The FOMC Cycle.
Přednášející: Prof. Gonul Colak (University of Sussex, UK + Hanken School of Economics, Finsko)
Publikace: https://scholar.google.com/citations?hl=en&user=Tb1lC64AAAAJ&view_op=list_works&sortby=pubdate
Termín: 19. ledna 2023, od 12:45 hod.
Místnost: RB 437
Název přednášky: Corporate Bond Market and The FOMC Cycle
Abstrakt: The prescheduled FOMC meetings and the related information release (monetary policy uncertainty) form cyclical patterns in the corporate bond market. We analyze how corporate bond returns and bond market liquidity varies in each week of this cycle. The bond returns during the even weeks are relatively higher than the odd week returns (for two successive FOMC cycle weeks), which is consistent with the Cieslak et al.’s (2019) claim that Fed information production and decision-making being concentrated in the even weeks. The bond market liquidity does not display a biweekly pattern, and instead it increases in the weeks with close proximity to the FOMC announcement day and dries up in the middle of the cycle. When inter-dealer trades are removed, the liquidity pattern within the FOMC cycle reverses: the institutional traders (customers) seem to trade more often during the middle of the cycle when the monetary policy uncertainty is minimal. This suggests that institutional/customer trades, rather than the inter-dealer trades, are more affected by the monetary policy uncertainty associated with the proximity to the FOMC meeting. Another factor that shapes the corporate bond market patterns is the impact of unanticipated monetary policy shocks on weekly bond excess returns. The unanticipated changes in FFR and the policy news shock capturing forward guidance are both negatively affecting bond returns. This effect is not confined only to the week of the FOMC announcement and instead it shows certain persistence within the cycle.
