The Impact of Monetary Policy Support on Corporate Bond Credit Spreads
Using monthly data from 2019-2022 on bonds issued by listed companies in China's Shanghai and Shenzhen,we use the double-difference method to explore the impact of monetary policy support on credit spreads in the corporate bond market.The results show that the policy implementation significantly narrows bond credit spreads,and the implementation effect is somewhat heterogeneous under different asset sizes,debt issuance sizes,labor intensities,and capital intensities;after decomposing credit spreads into liquidity spreads and default spreads,it is found that it narrows the credit spreads mainly by reducing default spreads.A further short-term event study of specific monetary policy instrument operations during the observation period found that the narrowing effect of the reduction of the medium-term lending facility rate and the standing lending facility rate on credit spreads showed a"preference"for state-owned enterprises and high credit ratings,while the narrowing effect caused by the reduction of the reserve requirement ratio for financial institutions was not significantly different.In order to better utilize the function of monetary policy in regulating the direct financing market,efforts should be made to improve the framework for the impact of monetary policy on the structure of credit spreads in the bond market,and to accelerate the construction of a coordinated monitoring mechanism for market risks.
万方数据
维普
