Does geopolitical risk raise or lower corporate credit spreads?
利用美国公司债券交易数据，发现地缘政治风险上升反而降低信用利差，原因是国债收益率比公司债收益率上升更多。
Using transaction-level U.S. corporate bond data, we document a significant negative relationship between geopolitical risk changes and credit spreads, driven by a disproportionate rise in cash-flow-matched Treasury yields. This finding cannot be explained by macroeconomic factors or uncertainty channels. • Geopolitical risk is negatively associated with corporate credit spreads. • Adverse geopolitical events primarily drive this negative correlation. • Treasury yields rise more than corporate yields during heightened geopolitical risk.