Skip to content

Monetary Policy and Corporate Bond Returns

  • Guo H
  • Kontonikas A
  • Maio P
N/ACitations
Citations of this article
7Readers
Mendeley users who have this article in their library.
Get full text

Abstract

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. (JEL 44, E52, G10, G12)Received: March 25, 2019: Editorial decision: March 27, 2020 by Editor: Hui Chen. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Cite

CITATION STYLE

APA

Guo, H., Kontonikas, A., & Maio, P. (2020). Monetary Policy and Corporate Bond Returns. The Review of Asset Pricing Studies, 10(3), 441–489. https://doi.org/10.1093/rapstu/raaa005

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free