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.
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.
|Full text:||(AM) Accepted Manuscript|
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|Publisher Web site:||https://doi.org/10.1093/rapstu/raaa005|
|Date accepted:||23 March 2020|
|Date deposited:||16 April 2020|
|Date of first online publication:||07 July 2020|
|Date first made open access:||07 July 2022|
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