THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS
研究了货币政策如何影响不同信用评级公司债券的收益率利差，发现衰退期意外加息会扩大低评级与高评级债券的利差，对投资者和政策制定者有参考价值。
Abstract We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between different phases of the business cycle. In line with the predictions of imperfect capital market theories, we find that yields on corporate bonds with low credit ratings widen (narrow) with respect to those with high credit ratings following an unexpected increase (decrease) in the Fed funds target rate during recession periods. Several tests suggest that our results are robust to outliers, potential endogeneity problems, empirical specification, control variables, countercyclical risk premium in futures, and alternative definitions of credit spreads and economic conditions.