Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity
研究发现，货币政策收紧时，高杠杆企业的信用利差上升幅度大于低杠杆企业，且大部分上升源于超出预期违约风险的部分。一个包含违约风险、金融中介约束和分割金融市场的异质性企业模型能解释这些事实，表明金融中介在货币政策传导至企业层面中起重要作用。
Firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage in response to a monetary policy tightening. A large fraction of this increase is due to a component of credit spreads that is in excess of firms’ expected default risk. A stylized heterogeneous firm model with default risk, financially constrained intermediaries, and segmented financial markets is able to account for these facts. Our findings imply that financial intermediaries play an important role in shaping the transmission of monetary policy to firm-level outcomes.