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. DOI https://doi.org/10.1093/rapstu/raaa005
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. DOI https://doi.org/10.1093/rapstu/raaa005
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. DOI https://doi.org/10.1093/rapstu/raaa005
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 |
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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 |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 22 Apr 2020 09:39 |
Last Modified: | 16 May 2024 20:18 |
URI: | http://repository.essex.ac.uk/id/eprint/27208 |
Available files
Filename: cb0320a.pdf