Market Effects of Central Bank Credit Markets Support Programs in Europea
利用信用违约互换指数对欧洲央行政策公告的反应，分离出货币政策意外中的信贷政策成分，发现宽松的信贷意外会延迟降低公司债收益率、减少信用风险不确定性、提振股市并增加公司债发行。
Abstract Using responses of credit default swap indices to European Central Bank (ECB) monetary policy announcements, we isolate a novel credit policy component of monetary policy surprises. We examine how such unconventional monetary policy surprises affect asset markets. Easing credit surprises lead to a somewhat delayed decline in corporate‐bond yields and cause declines in option‐implied measures of uncertainty about credit risk. Easing credit surprises also boost equity markets. Both net and gross corporate‐bond issuance increase as a result of easing credit surprises, with the largest response in investment grade issuance.