Monetary policy and corporate bond returns

Haifeng Guo, Alexandros Kontonikas*, Paulo Fraga Martins Maio

*Motsvarande författare för detta arbete

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftReview of Asset Pricing Studies
Volym10
Utgåva3
Sidor (från-till)441-489
Antal sidor49
ISSN2045-9920
DOI
StatusPublicerad - 07.07.2020
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 512 Företagsekonomi

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