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- LSAPs is a dummy variable equal to one during periods of LSAPs; DA( ) denotes the proportion of …rms in an industry with DA below the-th quantile; CR is the proportion of …rms in an industry with investment grade credit ratings. The sample consists of an unbalanced panel of 3; 647 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0:01, ** p < 0:05, * p < 0:1).
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- LSAPs is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; DA( ) denotes the proportion of …rms in an industry with DA below the-th quantile; CR is the proportion of …rms in an industry with investment grade credit ratings. The sample only includes …rms with at least 10 time observations, resulting in an unbalanced panel of 3; 011 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0:01, ** p < 0:05, * p < 0:1).
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- LSAPs is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; DA( ) denotes the proportion of …rms in an industry with DA below the-th quantile; CR is the proportion of …rms in an industry with investment grade credit ratings. The sample only includes …rms with at least 8 time observations, resulting in an unbalanced panel of 3; 236 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0:01, ** p < 0:05, * p < 0:1).
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- LSAPs is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; DA( ) denotes the proportion of …rms in an industry with DA below the-th quantile; CR is the proportion of …rms in an industry with investment grade credit ratings. The sample only includes …rms with at least 8 time observations, resulting in an unbalanced panel of 3; 236 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0:01, ** p < 0:05, * p < 0:1).
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- Program Start Date End Date Description QE1 Nov 2008 Mar 2010 The Fed purchased $175 billion (bn) in agency debt, $1,250bn in agency MBS, and $300bn in longer-term Treasury securities.
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- QE2 Nov 2010 Jun 2011 The Fed purchased $600bn of longer-dated Treasuries.
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- Table C.13: Estimated quantile threshold parameters Estimates of the quantile threshold parameters from a grid search procedure across both the partial adjustment model and the ARDL speci…cations described in equation (10). The upper panel shows the estimated threshold parameters for the single-threshold panel regression model, where pre = post. The lower panel displays results for the two-threshold model, where pre 6= post. The estimation sample consists of an unbalanced panel of 3; 647 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 -2018:Q3. Par. Adj. ARDL(1) ARDL(2) pre = post = ^ 0.56 0.76 0.76 pre 6= post ^pre 0.56 0.56 0.56 ^post 0.77 0.77 0.77 Table C.14 reports the estimated coe cients for the partial adjustment model, while Table C.15 and C.16 report the estimates for the ARDL(1) and ARDL(2) speci…cation, respectively.
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- The sample consists of an unbalanced panel of 3; 647 U.S. publicly traded non-…nancial …rms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors in parentheses (*** p < 0:01, ** p < 0:05, * p < 0:1).
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