The impacts of monetary policies and the risks of carry trade speculation

我的研究的主要目的是展示央行货币政策、银行体系和企业部门之间的高度关联，目的是研究一个实体可能出台的政策在多大程度上可以刺激其他一些实体的影响，反之亦然，来自企业部门的可能蔓延可能会蔓延到银行业，导致系统性风险的高度威胁。特别是，考虑到在货币政策利率较低的时期，银行对信用较差客户的贷款增加，我将解释套利交易投机活动预期增加背后的原因，以及这种做法对公司资本结构的影响。最终，将评估企业部门违约概率增加所产生的系统性风险的威胁，以及银行部门违约概率的蔓延。正如本章第二节所预期的那样，关于这一主题的文献的贡献将被用来确定将有效地进行分析的“最佳实践”。所需数据将在彭博社和WRDS这两个广泛的平台上收集，这两个平台包含大量的微观和宏观数据。具体地说，将按照Ioannidou等人使用的方法进行初步测试。(2014)。在标准货币政策和非标准货币政策期间，我们将使用EXPOST数据分析向新兴市场上市公司发放的个人贷款的合同特征。在分析中，这些贷款的事后违约概率将被用作风险的替代指标，以断言货币政策对风险偏好的影响。之后，考虑到两个州违约概率和贷款预期收益的变化，分析将利用这一测试来发现银行的道德风险行为。最后，本研究将通过运行两个实证模型来评估套利交易的影响。第一种方法将依赖于套利交易--表示为FXI25公司债券的平均利率与联邦基金利率之间的差额--与公司相关变量的回归。这一测试将使人们能够了解投资和影子银行投机产生的潜在风险，并影响新兴国家公司的资本结构。第二种认为套利交易是新兴市场外币债券与联邦基金利率之间的差额。这一次，套利交易将与宏观变量进行回归，以评估其对整体国家经济的影响。其中一些变量是：(1)通胀；(2)投资增长；(3)资产增长；(4)负债。随后，将进行行业分析，目的是突出上市公司资本结构的变化。这将通过利用彭博社观察公司的主要财务比率来完成，从而使用财务估值框架来发现相关的令人担忧的证据。相反，将分析资产价格和财务比率的变化，目的是计算这些公司在不断变化的经济变量下违约的可能性。通过使用财务比率对自由现金流进行预测，并对未来的资本成本做出合理的假设，公司资产的未来价值和对这些资产的剩余索取权将是可见的。这些结果将被用来总结货币政策对企业风险的影响。最后，研究将采用Rajan&Zingales使用的方法来理解部门的外部金融依赖。使用百分位数方法，可以观察到上述对外金融依赖与资本结构变化之间的相关性。然后，将根据不同行业的风险敞口，就货币政策(以及随后的投资)变化对不同行业风险的影响起草结论。

The main objective of my research is to show the high level of interconnection between central banks' monetary policies, banking system and corporate sectors with the aim of studying to what extent possible policies arising in one entity can stimulate effects on some others and vice versa a possible contagion arising from the corporate sector can propagate to the banking sector, resulting in high threat of systemic risk. Particularly, considering the increase in banks' lending to less creditworthy customers during periods of low monetary policy rates, I will explain the reasons behind the expected increase in carry trade speculation and the effects of this practice on firms' capital structure. Eventually, the threat of systemic risk arising from the corporate sectors' increase in default probability and the contagion of the banking one will be assessed.As anticipated in the second section of this chapter, the contribution of the literature on the topic will be used to identify "best practices" that would effectively allow the analysis. The required data will be collected on Bloomberg and WRDS, two extensive platforms containing a comprehensive amount of both micro and macro data. Specifically, the initial tests will be implemented following the approach used by Ioannidou et al. (2014). The contractual characteristics of the individual loans made to listed emerging markets' firms will be analysed during both periods of standard and non-standard monetary policy using expost data. In the analysis, the ex-post default probability of these loans will be used as a proxy for risk to assert the effects of monetary policies on risk appetite. Afterwards, considering the change in default probability and in loans expected return in the two states, the analysis will use this test to spot the moral hazard behaviour of banks. Finally, the research will assess the impact of carry trade by running two empirical models. The first one will rely on the regression of the carry trade - expressed as the difference between the average interest rate of FXI25 firms' corporate bonds and the fed fund rate - against corporate related variables. This test will enable the understanding of the potential risks arising from investment and shadow banks' speculation and affecting emerging countries firms' capital structure. The second one considers carry trade as the difference between emerging markets foreign currency bonds and fed fund rate. Carry trade, this time, will be regressed against macro variables to assess its impact on the overall countries' economy. Some of these variables are: (1) inflation; (2) investment growth; (3) assets growth; (4) indebtedness. Successively, a sector analysis will be carried forward with the purpose of highlighting changes in listed firms' capital structure. This will be done by exploiting Bloomberg to observe the companies' main financial ratios, hence to use a financial valuation framework to detect relevant evidences of concern. Changes in assets prices and financial ratios will be analysed instead with the aim of computing the probability of default of these companies under changing economic variables. By using financial ratios to make projections of free cash flows and by making reasonable assumptions over the future cost of capital, the future value of the firms' assets and residual claims on them will be visible. These results will be used to conclude on the impact of monetary policy on corporations' risk. Finally, the research will adopt the method used by Rajan & Zingales to understand sectors' external financial dependence. Using a percentile approach, it will be possible to observe the correlation between the just mentioned external financial dependence and the changes in capital structure. Then, a conclusion will be draft on the effects of a change in monetary policy (and consequently of investments) on different sectors' risk, according to their exposure.