Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Finance Research Letters 11 (2014) 3, pp. 203-212
The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation “twist”, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct rating- and maturity-based weekly bond portfolios using TRACE and...