Research Repository

Monetary policy and corporate bond returns

Guo, Haifeng and Kontonikas, Alexandros and Maio, Paulo (2020) 'Monetary policy and corporate bond returns.' Review of Asset Pricing Studies, 10 (3). pp. 441-489. ISSN 2045-9920

[img]
Preview
Text
cb0320a.pdf - Accepted Version

Download (539kB) | Preview

Abstract

We investigate the impact of monetary policy shocks on excess corporate bonds returns. We obtain a significant negative response of 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. Considering the two components of bond premia news, we find that the dominant channel for high-rating (low-rating) bonds is term premia (credit premia) news.

Item Type: Article
Uncontrolled Keywords: Corporate Bond Market, Bond Returns, Return Decomposition, Monetary Policy, Bond Premia, Present-Value Relation, Credit Risk
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 22 Apr 2020 09:39
Last Modified: 20 May 2022 01:00
URI: http://repository.essex.ac.uk/id/eprint/27208

Actions (login required)

View Item View Item