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

货币政策的影响和套利交易投机的风险

• 批准号: 1957586
• 金额: --
• 依托单位: University of Essex
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2017
• 资助国家: 英国
• 起止时间: 2017 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-1957586
• 关键词: impacts; monetary; policies; risks; carry

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.

我的研究的主要目的是显示中央银行的货币政策，银行体系和企业部门之间的高度相互关联，目的是研究在多大程度上一个实体可能产生的政策可以刺激其他实体的影响，反之亦然，企业部门可能产生的传染病可以传播到银行部门，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低的时期，银行对信用较差的客户的贷款增加，我将解释套利交易投机增加的原因及其对企业资本结构的影响。最后，将对企业部门违约概率增加和银行部门违约蔓延所产生的系统性风险的威胁进行评估。正如本章第二节所预期的那样，将利用有关这一主题的文献资料来确定能够有效进行分析的“最佳做法”。所需的数据将在Bloomberg和WRDS上收集，这两个广泛的平台包含了大量的微观和宏观数据。具体而言，将按照Ioannidou等人（2014）使用的方法实施初始测试。在标准和非标准货币政策期间，将使用事后数据分析向新兴市场上市公司提供的个别贷款的合同特征。在分析中，这些贷款的事后违约概率将被用作风险的代理，以断言货币政策对风险偏好的影响。然后，考虑违约概率和贷款预期收益率在两种状态下的变化，分析将使用此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。第一个将依赖于套息交易的回归-表示为FXI 25公司公司债券的平均利率与联邦基金利率之间的差异-对企业相关变量。这一测试将有助于了解投资和影子银行的投机行为所产生的潜在风险，并影响新兴国家公司的资本结构。第二种理论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，套利交易将根据宏观变量进行回归，以评估其对整体国家经济的影响。这些变量包括：（1）通货膨胀;（2）投资增长;（3）资产增长;（4）负债。接下来，将进行行业分析，以突出上市公司资本结构的变化。这将通过利用彭博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关注证据。资产价格和财务比率的变化将被分析，以计算这些公司在不断变化的经济变量下的违约概率。通过使用财务比率对自由现金流进行预测，并对未来资本成本进行合理假设，公司资产的未来价值和剩余索取权将是可见的。这些结果将用于总结货币政策对企业风险的影响。最后，本研究将采用Rajan & Zingales的方法来理解部门的外部金融依赖。使用百分位数方法，可以观察到刚才提到的对外金融依赖与资本结构变化之间的相关性。然后，将根据不同部门的风险，就货币政策（以及投资）的变化对不同部门风险的影响得出结论。