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. ISSN 2045-9920

[img] Text
cb0320a.pdf - Accepted Version
Restricted to Repository staff only until 20 May 2022.

Download (539kB) | Request a copy

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 > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 22 Apr 2020 09:39
Last Modified: 07 Jun 2020 19:15
URI: http://repository.essex.ac.uk/id/eprint/27208

Actions (login required)

View Item View Item