Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes
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DOI: 10.1080/1351847x.2021.1917442
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 heteroskedasti... read more here.
Keywords: private debt; monetary policy; debt respond; policy heteroskedasticity ... See more keywords