A Differential View on the Credit Channel of Monetary Policy Transmission
Year: 2006
Author: Kempa, Bernd, Holtrup, Hans-Jürgen, Hendricks, Torben
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 4 : pp. 537–549
Abstract
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 and the strength of the credit channel. In particular, the credit channel appears to be active only in periods of financial distress, such as the Latin American debt crisis of the early 1980s, the savings and loan debacle, as well as the events surrounding the 9/11 terror attacks and the subsequent accounting scandals. (JEL C22, E51)
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.39.4.537
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 4 : pp. 537–549
Published online: 2006-10
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Author Details
Kempa, Bernd Email
Holtrup, Hans-Jürgen Email
Hendricks, Torben Email
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