2021
DOI: 10.1080/1351847x.2021.1917442
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Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes

Abstract: We investigate the effects of the Federal Reserve's quantitative easing and maturity extension programs on the yields of US dollar-denominated corporate bonds using a multiple-regime heteroskedasticity-based VAR identification approach. Impulse response functions suggest that a traditional, rate-based expansionary policy may lead to an increase in yields while quantitative easing is linked to a general and persistent decrease in yields, particularly for long-term bonds. The responses generated by the maturity … Show more

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