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Credit spread and monetary policy

✍ Scribed by Yuki Teranishi


Book ID
116423044
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
196 KB
Volume
114
Category
Article
ISSN
0165-1765

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This study analyzes the impact of monetary policy actions on credit spreads of various rating categories and maturities, using federal funds futures to distinguish between anticipated and unanticipated changes in the federal funds rate. Two proxies for monetary policy shocks are the surprise change