Kempa, Bernd; Holtrup, Hans-Jürgen; Hendricks, Torben - In: Kredit und Kapital 39 (2006) 4, pp. 537-549
This paper analyzes the effectiveness of the credit channel as a transmission mechanism of monetary policy by applying … a Markov switching approach on the default premium of U.S. corporate bond portfolios. Beside the stance of monetary … policy and the state of the business cycle, we identify a latent factor determining the quality spread of the bond portfolios …