Valentina Massagli

Bocconi University - Baffi Carefin Centre

Via Roentgen 1

Milan

Italy

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Scholarly Papers (1)

1.

Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‚ÄźBased Identification in a Model with Regimes

BAFFI CAREFIN Centre Research Paper No. 2019-118
Number of pages: 45 Posted: 24 Sep 2019
Massimo Guidolin, Manuela Pedio and Valentina Massagli
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University - Baffi Carefin Centre
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Abstract:

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unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields