Den nordamerikanska styrräntan och de europeiska företagsobligationerna; en tidsserieanalys
(2024) NEKH02 20241Department of Economics
- Abstract
- This study aims to analyse how secured and subordinated bonds issued by European banks have performed in the secondary market in times when the Federal Funds Rate have increased by 5.25% since March 2022. Two indexes, each corresponding to the previously mentioned payment ranks, have been created and time series regressions have been run with periodic dummies of the day before and after the pre-scheduled FOMC announcements. The results of this study show no significant effect on the days in conjunction with the FOMC announcements, despite the secured index in times of a stable rate climate, where spread levels widened on the day before an announcement and tightened on the day that the rate was communicated to the market. Tendencies have,... (More)
- This study aims to analyse how secured and subordinated bonds issued by European banks have performed in the secondary market in times when the Federal Funds Rate have increased by 5.25% since March 2022. Two indexes, each corresponding to the previously mentioned payment ranks, have been created and time series regressions have been run with periodic dummies of the day before and after the pre-scheduled FOMC announcements. The results of this study show no significant effect on the days in conjunction with the FOMC announcements, despite the secured index in times of a stable rate climate, where spread levels widened on the day before an announcement and tightened on the day that the rate was communicated to the market. Tendencies have, however, been noted, where both indexes displayed an increase in spread levels before the first Federal Funds Rate hike and spreads began to tighten prior to the stagnation of the rate. In addition, we saw tendencies of subordinated bonds being associated with an unproportionate amount of credit risk and market risk during times of rate hikes and then having the risk factors corrected when stagnation was anticipated by investors and happening. (Less)
- Popular Abstract
- This study aims to analyse how secured and subordinated bonds issued by European banks have performed in the secondary market in times when the Federal Funds Rate have increased by 5.25% since March 2022. Two indexes, each corresponding to the previously mentioned payment ranks, have been created and time series regressions have been run with periodic dummies of the day before and after the pre-scheduled FOMC announcements. The results of this study show no significant effect on the days in conjunction with the FOMC announcements, despite the secured index in times of a stable rate climate, where spread levels widened on the day before an announcement and tightened on the day that the rate was communicated to the market. Tendencies have,... (More)
- This study aims to analyse how secured and subordinated bonds issued by European banks have performed in the secondary market in times when the Federal Funds Rate have increased by 5.25% since March 2022. Two indexes, each corresponding to the previously mentioned payment ranks, have been created and time series regressions have been run with periodic dummies of the day before and after the pre-scheduled FOMC announcements. The results of this study show no significant effect on the days in conjunction with the FOMC announcements, despite the secured index in times of a stable rate climate, where spread levels widened on the day before an announcement and tightened on the day that the rate was communicated to the market. Tendencies have, however, been noted, where both indexes displayed an increase in spread levels before the first Federal Funds Rate hike and spreads began to tighten prior to the stagnation of the rate. In addition, we saw tendencies of subordinated bonds being associated with an unproportionate amount of credit risk and market risk during times of rate hikes and then having the risk factors corrected when stagnation was anticipated by investors and happening. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9162243
- author
- Bornefalk, Vilhelm LU
- supervisor
- organization
- course
- NEKH02 20241
- year
- 2024
- type
- M2 - Bachelor Degree
- subject
- keywords
- FOMC, Bonds, Rate hikes, Banks, Financial markets
- language
- Swedish
- id
- 9162243
- date added to LUP
- 2024-09-24 08:57:49
- date last changed
- 2024-09-24 08:57:49
@misc{9162243,
abstract = {{This study aims to analyse how secured and subordinated bonds issued by European banks have performed in the secondary market in times when the Federal Funds Rate have increased by 5.25% since March 2022. Two indexes, each corresponding to the previously mentioned payment ranks, have been created and time series regressions have been run with periodic dummies of the day before and after the pre-scheduled FOMC announcements. The results of this study show no significant effect on the days in conjunction with the FOMC announcements, despite the secured index in times of a stable rate climate, where spread levels widened on the day before an announcement and tightened on the day that the rate was communicated to the market. Tendencies have, however, been noted, where both indexes displayed an increase in spread levels before the first Federal Funds Rate hike and spreads began to tighten prior to the stagnation of the rate. In addition, we saw tendencies of subordinated bonds being associated with an unproportionate amount of credit risk and market risk during times of rate hikes and then having the risk factors corrected when stagnation was anticipated by investors and happening.}},
author = {{Bornefalk, Vilhelm}},
language = {{swe}},
note = {{Student Paper}},
title = {{Den nordamerikanska styrräntan och de europeiska företagsobligationerna; en tidsserieanalys}},
year = {{2024}},
}