We investigate the effects of the Federal Reserve's quantitative easing and maturity extension programs on the yields of US dollar-denominated corporate bonds using a multiple-regime heteroskedasticity-based VAR identification approach. Impulse response functions suggest that a traditional, rate-based expansionary policy may lead to an increase in yields while quantitative easing is linked to a general and persistent decrease in yields, particularly for long-term bonds. The responses generated by the maturity extension program are significant and of larger magnitude. A decomposition shows that the unconventional programs reduce the cost of private debt primarily through a reduction in risk premia that cannot be entirely accounted for by a reduction in corporate default risk.

我们使用基于多机制异方差的 VAR 识别方法研究了美联储的量化宽松和期限延长计划对以美元计价的公司债券收益率的影响。脉冲响应函数表明，传统的、基于利率的扩张性政策可能会导致收益率上升，而量化宽松政策与收益率普遍和持续下降有关，尤其是长期债券。成熟度扩展计划产生的响应是显着的和更大的。分解表明，非常规计划主要通过降低风险溢价来降低私人债务成本，而这并不能完全通过降低企业违约风险来解释。