Monetary policy and corporate bond returns

Haifeng Guo, Alexandros Kontonikas*, Paulo Fraga Martins Maio

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

12 Citations (Scopus)


We investigate the impact of monetary policy shocks on excess corporate bonds returns. We obtain a significant negative response of bond returns to policy shocks, which is especially strong among low-grading bonds. The largest portion of this response is related to higher expected bond returns (risk premium news), while the impact on expectations of future interest rates (interest rate news) plays a secondary role. However, the interest rate channel is dominant among high-grading bonds and Treasury bonds. Looking at the two components of bond premium news, we find that the dominant channel for high-rating (low-rating) bonds is term premium (credit premium) news.
Original languageEnglish
Peer-reviewed scientific journalReview of Asset Pricing Studies
Issue number3
Pages (from-to)441-489
Number of pages49
Publication statusPublished - 07.07.2020
MoE publication typeA1 Journal article - refereed


  • 512 Business and Management


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