Monetary policy and corporate bond returns

Haifeng Guo; Alexandros Kontonikas; Paulo Fraga Martins Maio

doi:10.1093/rapstu/raaa005

Monetary policy and corporate bond returns

Haifeng Guo, Alexandros Kontonikas^*, Paulo Fraga Martins Maio

^*Motsvarande författare för detta arbete

Finansiell ekonomi, Helsingfors

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

12 Citeringar (Scopus)

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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.

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Review of Asset Pricing Studies
Volym	10
Nummer	3
Sidor (från-till)	441-489
Antal sidor	49
ISSN	2045-9920
DOI	https://doi.org/10.1093/rapstu/raaa005
Status	Publicerad - 07.07.2020
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

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512 Företagsekonomi

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10.1093/rapstu/raaa005

SSRN_id3547931-1Accepterat manuskript, 0,98 MBLicens: CC BY-NC

https://ssrn.com/abstract=3547931

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Monetary policy and corporate bond returns

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